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subject:"Portfolio-Management"
subject:"Stochastischer Prozess"
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Portfolio-Management
Stochastischer Prozess
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540
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194
Mathematische Optimierung
194
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68
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61
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Mathematical methods of operations research
European journal of operational research : EJOR
666
Insurance / Mathematics & economics
378
NBER working paper series
269
Journal of banking & finance
255
Finance and stochastics
254
International journal of theoretical and applied finance
232
Working paper / National Bureau of Economic Research, Inc.
226
Journal of economic dynamics & control
223
NBER Working Paper
222
Mathematical finance : an international journal of mathematics, statistics and financial theory
215
Computers & operations research : and their applications to problems of world concern ; an international journal
179
Finance research letters
163
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Quantitative finance
147
Risks : open access journal
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133
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130
Discussion paper / Tinbergen Institute
127
Economics letters
127
International journal of production research
127
The review of financial studies
120
Journal of economic theory
116
Economic modelling
115
Journal of empirical finance
109
Journal of financial economics
109
Discussion paper / Centre for Economic Policy Research
107
The journal of finance : the journal of the American Finance Association
107
Mathematics of operations research
101
Computational economics
100
The journal of portfolio management : a publication of Institutional Investor
99
SpringerLink / Bücher
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Swiss Finance Institute Research Paper
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The European journal of finance
89
International journal of production economics
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Mathematics and financial economics
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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
Algorithms for non-linear and stochastic resource constrained shortest path
Parmentier, Axel
- In:
Mathematical methods of operations research
89
(
2019
)
2
,
pp. 281-317
Persistent link: https://www.econbiz.de/10012010371
Saved in:
4
Management of a hydropower system via convex duality
Dahl, Kristina Rognlien
- In:
Mathematical methods of operations research
89
(
2019
)
1
,
pp. 43-71
Persistent link: https://www.econbiz.de/10011991715
Saved in:
5
Reduction of nonanticipativity constraints in multistage stochastic programming problems with endogenous and exogenous uncertainty
Hooshmand, F.
;
MirHassani, S.A.
- In:
Mathematical methods of operations research
87
(
2018
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011873712
Saved in:
6
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:
7
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:
8
A limited-feedback approximation scheme for optimal switching problems with execution delays
Perninge, Magnus
- In:
Mathematical methods of operations research
87
(
2018
)
3
,
pp. 347-382
Persistent link: https://www.econbiz.de/10011874011
Saved in:
9
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
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10
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:
11
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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12
A mathematical model for personalized advertisement in virtual reality environments
Kilic, Kemal
;
Saygi, Menekse G.
;
Sezer, Semih O.
- In:
Mathematical methods of operations research
85
(
2017
)
2
,
pp. 241-264
Persistent link: https://www.econbiz.de/10011714435
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13
Robust optimal investment and reinsurance problem for a general insurance company under Heston model
Huang, Ya
;
Xiangqun, Yang
;
Zhou, Jieming
- In:
Mathematical methods of operations research
85
(
2017
)
2
,
pp. 305-326
Persistent link: https://www.econbiz.de/10011714438
Saved in:
14
Better than pre-committed optimal mean-variance policy in a jump diffusion market
Shi, Yun
;
Li, Xun
;
Cui, Xiangyu
- In:
Mathematical methods of operations research
85
(
2017
)
3
,
pp. 327-347
Persistent link: https://www.econbiz.de/10011714505
Saved in:
15
Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
Pan, Jian
;
Xiao, Qingxian
- In:
Mathematical methods of operations research
85
(
2017
)
3
,
pp. 491-519
Persistent link: https://www.econbiz.de/10011714519
Saved in:
16
Efficient optimization of the reward-risk ratio with polyhedral risk measures
Ogryczak, Włodzimierz
;
Przyłuski, Michał
; …
- In:
Mathematical methods of operations research
86
(
2017
)
3
,
pp. 625-653
Persistent link: https://www.econbiz.de/10011793414
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17
Optimal investment and consumption under partial information
Lindensjö, Kristoffer
- In:
Mathematical methods of operations research
83
(
2016
)
1
,
pp. 87-107
Persistent link: https://www.econbiz.de/10011446622
Saved in:
18
SAA method based on modified Newton method for stochastic variational inequality with second-oder cone constraints and application in portfolio optimization
Chen, Shuang
;
Pang, Li-Ping
;
Ma, Xue-Fei
;
Li, Dan
- In:
Mathematical methods of operations research
84
(
2016
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011673458
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19
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Liang, Zhibin
;
Bi, Junna
;
Yuen, Kam Chuen
;
Zhang, Caibin
- In:
Mathematical methods of operations research
84
(
2016
)
1
,
pp. 155-181
Persistent link: https://www.econbiz.de/10011673473
Saved in:
20
Utility maximization in an illiquid market in continuous time
Soner, Halil Mete
;
Vukelja, Mirjana
- In:
Mathematical methods of operations research
84
(
2016
)
2
,
pp. 285-321
Persistent link: https://www.econbiz.de/10011673528
Saved in:
21
On the quantification of nomination feasibility in stationary gas networks with random load
Gotzes, Claudia
;
Heitsch, Holger
;
Henrion, René
; …
- In:
Mathematical methods of operations research
84
(
2016
)
2
,
pp. 427-457
Persistent link: https://www.econbiz.de/10011673543
Saved in:
22
Long run risk sensitive portfolio with general factors
Pitera, Marcin
;
Stettner, Łukasz
- In:
Mathematical methods of operations research
83
(
2016
)
2
,
pp. 265-293
Persistent link: https://www.econbiz.de/10011673660
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23
Approximations of time-dependent unreliable flow lines with finite buffers
Göttlich, Simone
;
Kühn, Sebastian
;
Schwarz, J. A.
; …
- In:
Mathematical methods of operations research
83
(
2016
)
3
,
pp. 295-323
Persistent link: https://www.econbiz.de/10011673667
Saved in:
24
Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates
Tan, Jiyang
;
Li, Chun
;
Li, Ziqiang
;
Xiangqun, Yang
; …
- In:
Mathematical methods of operations research
82
(
2015
)
1
,
pp. 61-83
Persistent link: https://www.econbiz.de/10011308397
Saved in:
25
Downside loss aversion : winner or loser?
Fortin, Ines
;
Hlouskova, Jaroslava
- In:
Mathematical methods of operations research
81
(
2015
)
2
,
pp. 181-233
Persistent link: https://www.econbiz.de/10010526371
Saved in:
26
Downside loss aversion : winner or loser?
Fortin, Ines
;
Hlouskova, Jaroslava
- In:
Mathematical methods of operations research
81
(
2015
)
2
,
pp. 181-233
Persistent link: https://www.econbiz.de/10010526379
Saved in:
27
Complete markets do not not allow free cash flow streams
Bäuerle, Nicole
;
Grether, Stefanie
- In:
Mathematical methods of operations research
81
(
2015
)
2
,
pp. 137-146
Persistent link: https://www.econbiz.de/10010526383
Saved in:
28
Extensions of the sequential stochastic assignment problem
Khatibi, Arash
;
Baharian, Golshid
;
Behzad, Banafsheh
; …
- In:
Mathematical methods of operations research
82
(
2015
)
3
,
pp. 317-340
Persistent link: https://www.econbiz.de/10011405954
Saved in:
29
Decomposition approaches for block-structured chance-constrained programs with application to hydro-thermal unit commitment
Ackooij, Wim van
- In:
Mathematical methods of operations research
80
(
2014
)
3
,
pp. 227-253
Persistent link: https://www.econbiz.de/10010442262
Saved in:
30
Irreversible investments with delayed reaction : an application to generation re-dispatch in power system operation
Perninge, Magnus
;
Söder, Lennart
- In:
Mathematical methods of operations research
79
(
2014
)
2
,
pp. 195-224
Persistent link: https://www.econbiz.de/10010347955
Saved in:
31
The stochastic guaranteed service model with recourse for multi-echelon warehouse management
Rambau, Jörg
;
Schade, Konrad
- In:
Mathematical methods of operations research
79
(
2014
)
3
,
pp. 293-326
Persistent link: https://www.econbiz.de/10010371421
Saved in:
32
Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems
De Maere d'Aertrycke, Gauthier
;
Shapiro, Alexander
; …
- In:
Mathematical methods of operations research
77
(
2013
)
3
,
pp. 393-405
Persistent link: https://www.econbiz.de/10009774882
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33
Portfolio-optimization models for small investors
Baumann, Philipp
;
Trautmann, Norbert
- In:
Mathematical methods of operations research
77
(
2013
)
3
,
pp. 345-356
Persistent link: https://www.econbiz.de/10009774889
Saved in:
34
The stochastic shortest-path problem for Markov chains with infinite state space with applications to nearest-neighbor lattice chains
Lücking, Daniel
;
Stadje, Wolfgang
- In:
Mathematical methods of operations research
77
(
2013
)
2
,
pp. 239-264
Persistent link: https://www.econbiz.de/10009766707
Saved in:
35
Minimizing the ruin probability allowing investments in two assets : a two-dimensional problem
Azcue, Pablo
;
Muler, Nora
- In:
Mathematical methods of operations research
77
(
2013
)
2
,
pp. 177-206
Persistent link: https://www.econbiz.de/10009766710
Saved in:
36
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Lin, Xiang
;
Zhang, Chunhong
;
Siu, Tak Kuen
- In:
Mathematical methods of operations research
75
(
2012
)
1
,
pp. 83-100
Persistent link: https://www.econbiz.de/10009490707
Saved in:
37
Quantitative stability of mixed-integer two-stage quadratic stochastic programs
Chen, Zhiping
;
Han, Youpan
- In:
Mathematical methods of operations research
75
(
2012
)
2
,
pp. 149-163
Persistent link: https://www.econbiz.de/10009533448
Saved in:
38
Reflecting Brownian motion in three dimensions : a new proof of sufficient conditions for positive recurrence
Dai, J. G.
;
Harrison, J. Michael
- In:
Mathematical methods of operations research
75
(
2012
)
2
,
pp. 135-147
Persistent link: https://www.econbiz.de/10009533452
Saved in:
39
Postoptimality for mean-risk stochastic mixed-integer programs and its application
Chen, Zhiping
;
Zhang, Feng
;
Li Yang
- In:
Mathematical methods of operations research
74
(
2011
)
3
,
pp. 445-465
Persistent link: https://www.econbiz.de/10009405059
Saved in:
40
Optimal investment with deferred capital gains taxes : a simple martingale method approach
Seifried, Frank Thomas
- In:
Mathematical methods of operations research
71
(
2010
)
1
,
pp. 181-199
Persistent link: https://www.econbiz.de/10003958350
Saved in:
41
Optimal investment for a pension fund under inflation risk
Zhang, Aihua
;
Ewald, Christian-Oliver
- In:
Mathematical methods of operations research
71
(
2010
)
2
,
pp. 353-369
Persistent link: https://www.econbiz.de/10003958364
Saved in:
42
Optimal investment under partial information
Björk, Tomas
;
Davis, Mark H. A.
- In:
Mathematical methods of operations research
71
(
2010
)
2
,
pp. 371-399
Persistent link: https://www.econbiz.de/10003958366
Saved in:
43
Optimal partial hedging in a discrete-time market as a knapsack problem
Lindberg, Peter
- In:
Mathematical methods of operations research
72
(
2010
)
3
,
pp. 433-451
Persistent link: https://www.econbiz.de/10008748334
Saved in:
44
Optimal portfolio policies under bounded expected loss and partial information
Sass, Jörn
;
Wunderlich, Ralf
- In:
Mathematical methods of operations research
72
(
2010
)
1
,
pp. 25-61
Persistent link: https://www.econbiz.de/10008652566
Saved in:
45
Optimal investment strategies with a reallocation constraint
Egriboyun, Feyzullah
;
Soner, Halil Mete
- In:
Mathematical methods of operations research
71
(
2010
)
3
,
pp. 551-585
Persistent link: https://www.econbiz.de/10003990396
Saved in:
46
Replication and shortfall risk in a binomial model with transaction costs
Trivellato, Barbara
- In:
Mathematical methods of operations research
69
(
2009
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10003858038
Saved in:
47
Optimal payout policy in presence of downside risk
Alvarez, Luis H. R.
;
Rakkolainen, Teppo A.
- In:
Mathematical methods of operations research
69
(
2009
)
1
,
pp. 27-58
Persistent link: https://www.econbiz.de/10003858043
Saved in:
48
On convex risk measures on Lp-spaces
Kaina, M.
;
Rüschendorf, Ludger
- In:
Mathematical methods of operations research
69
(
2009
)
3
,
pp. 475-495
Persistent link: https://www.econbiz.de/10003858273
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49
Testing diffusion processes for non-stationarity
Hamrick, Jeff
;
Taqqu, Murad S.
- In:
Mathematical methods of operations research
69
(
2009
)
3
,
pp. 509-551
Persistent link: https://www.econbiz.de/10003858276
Saved in:
50
A note on statistical models for individual hedge fund returns
Miura, Ryozo
;
Aoki, Yoshimitsu
;
Yokouchi, Daisuke
- In:
Mathematical methods of operations research
69
(
2009
)
3
,
pp. 553-577
Persistent link: https://www.econbiz.de/10003858278
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