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type_genre:"Article in journal"
~isPartOf:"Mathematical methods of operations research"
~subject:"Stochastic process"
~subject:"Theory"
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Search: subject_exact:"Portfolio management"
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Stochastic process
Theory
Portfolio selection
80
Portfolio-Management
80
Theorie
65
Stochastischer Prozess
23
Risiko
11
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11
Mathematical programming
10
Mathematische Optimierung
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Article in journal
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Korn, Ralf
5
Bi, Junna
2
Hernández-Hernández, Daniel
2
Kallsen, Jan
2
Koo, Hyeng-keun
2
Kraft, Holger
2
Liang, Zhibin
2
Schwartz, Eduardo S.
2
Schäl, Manfred
2
Soner, Halil Mete
2
Yuen, Kam Chuen
2
Abergel, Frédérik
1
Albeverio, Sergio
1
Alvarez, Luis H. R.
1
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1
Aoki, Yoshimitsu
1
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1
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1
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1
Baran, Michał
1
Barz, C.
1
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1
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1
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1
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1
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1
Chen, Lihua
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1
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1
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1
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1
Dupačová, Jitka
1
Egriboyun, Feyzullah
1
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1
Ewald, Christian-Oliver
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Mathematical methods of operations research
Insurance / Mathematics & economics
313
European journal of operational research : EJOR
285
Journal of banking & finance
245
Journal of economic dynamics & control
177
International journal of theoretical and applied finance
170
Finance and stochastics
166
Finance research letters
166
Mathematical finance : an international journal of mathematics, statistics and financial theory
161
Quantitative finance
131
Risks : open access journal
106
The review of financial studies
100
Management science : journal of the Institute for Operations Research and the Management Sciences
99
Journal of financial economics
98
The journal of portfolio management : a publication of Institutional Investor
98
Journal of empirical finance
92
The journal of finance : the journal of the American Finance Association
92
Economic modelling
81
Economics letters
80
Mathematics and financial economics
79
The European journal of finance
77
The journal of asset management
72
Journal of risk and financial management : JRFM
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Computational economics
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International review of economics & finance : IREF
70
Journal of mathematical finance
70
The North American journal of economics and finance : a journal of financial economics studies
67
International review of financial analysis
66
Annals of finance
64
The journal of portfolio management : JPM
62
Journal of economic theory
61
Applied mathematical finance
60
Applied economics
59
Journal of financial and quantitative analysis : JFQA
48
Journal of investment management : JOIM
48
Operations research letters
46
The journal of investing : JOI
45
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
44
Scandinavian actuarial journal
43
Financial markets and portfolio management
42
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ECONIS (ZBW)
72
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1
Worst-case portfolio optimization in discrete time
Chen, Lihua
;
Korn, Ralf
- In:
Mathematical methods of operations research
90
(
2019
)
2
,
pp. 197-227
Persistent link: https://www.econbiz.de/10012132709
Saved in:
2
Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Neufeld, Ariel
;
Ṥikić, Mario
- In:
Mathematical methods of operations research
90
(
2019
)
2
,
pp. 229-253
Persistent link: https://www.econbiz.de/10012132710
Saved in:
3
Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market
Bi, Junna
;
Liang, Zhibin
;
Yuen, Kam Chuen
- In:
Mathematical methods of operations research
90
(
2019
)
1
,
pp. 109-135
Persistent link: https://www.econbiz.de/10012116630
Saved in:
4
An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
Kang, Zhilin
;
Li, Zhongfei
- In:
Mathematical methods of operations research
87
(
2018
)
2
,
pp. 169-195
Persistent link: https://www.econbiz.de/10011873984
Saved in:
5
Quantile Hedging in a semi-static market with model uncertainty
Bayraktar, Erhan
;
Wang, Gu
- In:
Mathematical methods of operations research
87
(
2018
)
2
,
pp. 197-277
Persistent link: https://www.econbiz.de/10011873985
Saved in:
6
Non-linear filtering and optimal investment under partial information for stochastic volatility models
Ibrahim, Dalia
;
Abergel, Frédérik
- In:
Mathematical methods of operations research
87
(
2018
)
3
,
pp. 311-346
Persistent link: https://www.econbiz.de/10011874006
Saved in:
7
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang
;
Guo, Junyi
- In:
Mathematical methods of operations research
88
(
2018
)
1
,
pp. 59-79
Persistent link: https://www.econbiz.de/10011903385
Saved in:
8
No-arbitrage and optimal investment with possibly non-concave utilities : a measure theoretical approach
Blanchard, Romain
;
Carassus, Laurence
;
Rásonyi, Miklós
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 241-281
Persistent link: https://www.econbiz.de/10011935667
Saved in:
9
Risk management with multiple VaR constraints
Chen, An
;
Thai Huu Nguyen
;
Stadje, Mitja
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 297-337
Persistent link: https://www.econbiz.de/10011935692
Saved in:
10
Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
Singh, Arti
;
Selvamuthu, Dharmaraja
- In:
Mathematical methods of operations research
86
(
2017
)
1
,
pp. 29-69
Persistent link: https://www.econbiz.de/10011714373
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