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type_genre:"Article in journal"
~subject:"Mathematische Optimierung"
~isPartOf:"Insurance / Mathematics & economics"
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Search: subject_exact:"Portfolio management"
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Mathematische Optimierung
Portfolio selection
385
Portfolio-Management
385
Theorie
277
Theory
277
Risiko
121
Risk
121
Risikomaß
105
Risk measure
105
Risikomanagement
98
Risk management
98
Stochastic process
88
Stochastischer Prozess
88
Measurement
54
Messung
54
Risikomodell
52
Risk model
52
Reinsurance
47
Rückversicherung
47
Pension fund
43
Pensionskasse
43
Lebensversicherung
41
Life insurance
41
Statistical distribution
40
Statistische Verteilung
40
Altersvorsorge
37
Retirement provision
37
Probability theory
32
Wahrscheinlichkeitsrechnung
32
Option pricing theory
31
Optionspreistheorie
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Capital income
27
Kapitaleinkommen
27
Mortality
27
Sterblichkeit
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Private Altersvorsorge
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Private retirement provision
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Control theory
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19
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Young, Virginia R.
2
Angoshtari, Bahman
1
Bayraktar, Erhan
1
Bi, Junna
1
Cai, Jun
1
Cairns, Andrew
1
Chen, Mi
1
Chen, Xu
1
Chen, Zhiping
1
Christensen, Bent Jesper
1
Dang, Duy Minh
1
Duarte, Thiago B.
1
Fahrenwaldt, Matthias
1
Forsyth, Peter A.
1
Guo, Junyi
1
Hambardzumyan, Hayk
1
Huang, Xiaoxia
1
Kiesel, Swen
1
Korn, Ralf
1
Laeven, Roger J. A.
1
Liang, Xiaoqing
1
Liang, Zongxia
1
Ling, Chengxiu
1
Liu, Yong-jun
1
Parra-Alvarez, Juan Carlos
1
Pelsser, Antoon André Jean
1
Peng, Xiaofan
1
Rüschendorf, Ludger
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Serrano, Rafael
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1
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Yang, Xiang-qun
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Insurance / Mathematics & economics
European journal of operational research : EJOR
119
Finance and stochastics
29
International journal of theoretical and applied finance
27
Computational economics
25
Computers & operations research : and their applications to problems of world concern ; an international journal
25
Quantitative finance
24
Mathematics and financial economics
20
Finance research letters
19
Journal of the Operational Research Society
19
Mathematical finance : an international journal of mathematics, statistics and financial theory
17
OR spectrum : quantitative approaches in management
16
Journal of mathematical finance
15
Operations research
15
Operations research letters
15
Journal of banking & finance
14
Journal of economic dynamics & control
14
Operational research : an international journal
14
The journal of asset management
14
Computational Management Science : CMS
13
Omega : the international journal of management science
12
Mathematics of operations research
11
Applied mathematical finance
10
Economic modelling
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
Mathematical methods of operations research
10
Risks : open access journal
10
Annals of finance
9
International transactions in operational research : a journal of the International Federation of Operational Research Societies
9
Journal of the Operational Research Society : OR
9
Operations research perspectives
9
International journal of financial engineering
8
Journal of risk and financial management : JRFM
8
Computational management science
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
INFOR : information systems and operational research
7
INFORMS journal on computing : JOC
7
RAIRO / Operations research
7
The European journal of finance
7
The engineering economist : a journal devoted to the problems of capital investment
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ECONIS (ZBW)
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Optimal control of investment, premium and deductible for a non-life insurance company
Christensen, Bent Jesper
;
Parra-Alvarez, Juan Carlos
; …
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 384-405
Persistent link: https://www.econbiz.de/10012793933
Saved in:
2
Robust optimal reinsurance-investment strategy with price jumps and correlated claims
Chen, Zhiping
;
Yang, Peng
- In:
Insurance / Mathematics & economics
92
(
2020
),
pp. 27-46
Persistent link: https://www.econbiz.de/10012242037
Saved in:
3
Expected utility approximation and portfolio optimisation
Fahrenwaldt, Matthias
;
Sun, Chaofan
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 301-314
Persistent link: https://www.econbiz.de/10012294137
Saved in:
4
Asymptotics of multivariate conditional risk measures for Gaussian risks
Ling, Chengxiu
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 205-215
Persistent link: https://www.econbiz.de/10012058863
Saved in:
5
Dynamic hybrid products with guarantees : an optimal portfolio framework
Hambardzumyan, Hayk
;
Korn, Ralf
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 54-66
Persistent link: https://www.econbiz.de/10011990433
Saved in:
6
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Bi, Junna
;
Cai, Jun
- In:
Insurance / Mathematics & economics
85
(
2019
),
pp. 1-14
Persistent link: https://www.econbiz.de/10011990589
Saved in:
7
Annuitization and asset allocation under exponential utility
Liang, Xiaoqing
;
Young, Virginia R.
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 167-183
Persistent link: https://www.econbiz.de/10011825434
Saved in:
8
Time-consistent mean-variance portfolio optimization : a numerical impulse control approach
Staden, Pieter M. van
;
Dang, Duy Minh
;
Forsyth, Peter A.
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011944090
Saved in:
9
Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
Duarte, Thiago B.
;
Valladão, Davi M.
;
Veiga, Alvaro
- In:
Insurance / Mathematics & economics
77
(
2017
),
pp. 177-188
Persistent link: https://www.econbiz.de/10011783945
Saved in:
10
Minimizing the probability of lifetime drawdown under constant consumption
Angoshtari, Bahman
;
Bayraktar, Erhan
;
Young, Virginia R.
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 210-223
Persistent link: https://www.econbiz.de/10011533908
Saved in:
11
Optimal mean-variance efficiency of a family with life insurance under inflation risk
Liang, Zongxia
;
Zhao, Xiaoyang
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 164-178
Persistent link: https://www.econbiz.de/10011630638
Saved in:
12
Optimal consumption and investment problem with random horizon in a BMAP model
Chen, Xu
;
Yang, Xiang-qun
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 197-205
Persistent link: https://www.econbiz.de/10010515884
Saved in:
13
Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 1-12
Persistent link: https://www.econbiz.de/10010402753
Saved in:
14
Mean-chance model for portfolio selection based on uncertain measure
Huang, Xiaoxia
;
Zhao, Tianyi
- In:
Insurance / Mathematics & economics
59
(
2014
),
pp. 243-250
Persistent link: https://www.econbiz.de/10010470014
Saved in:
15
Optimal dividend problem with a nonlinear regular-singular stochastic control
Chen, Mi
;
Peng, Xiaofan
;
Guo, Junyi
- In:
Insurance / Mathematics & economics
52
(
2013
)
3
,
pp. 448-456
Persistent link: https://www.econbiz.de/10009763629
Saved in:
16
Fuzzy portfolio optimization model under real constraints
Liu, Yong-jun
;
Zhang, Wei-guo
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 704-711
Persistent link: https://www.econbiz.de/10010227896
Saved in:
17
Optimal dividends and ALM under unhedgeable risk
Pelsser, Antoon André Jean
;
Laeven, Roger J. A.
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 515-523
Persistent link: https://www.econbiz.de/10010227973
Saved in:
18
Modelling and management of longevity risk : approximations to survivor functions and dynamic hedging
Cairns, Andrew
- In:
Insurance / Mathematics & economics
49
(
2011
)
3
,
pp. 438-453
Persistent link: https://www.econbiz.de/10009404687
Saved in:
19
On optimal allocation of risk vectors
Kiesel, Swen
;
Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
47
(
2010
)
2
,
pp. 167-175
Persistent link: https://www.econbiz.de/10008654261
Saved in:
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