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subject:"Portfolio-Management"
type_genre:"Sammlung"
~person:"Kraft, Holger"
~person:"Li, Zhongfei"
~person:"Platen, Eckhard"
~type_genre:"Aufsatz in Zeitschrift"
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Portfolio-Management
Theorie
75
Theory
75
Portfolio selection
42
Stochastic process
17
Stochastischer Prozess
17
CAPM
9
Volatility
8
Volatilität
8
Dynamic programming
7
Dynamische Optimierung
7
Benchmarking
6
Börsenkurs
6
Share price
6
Time consistency
6
Zeitkonsistenz
6
Altersvorsorge
5
Insurance
5
Pension fund
5
Pensionskasse
5
Reinsurance
5
Retirement provision
5
Risikoaversion
5
Risk aversion
5
Rückversicherung
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Yield curve
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Zinsstruktur
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DC pension plan
4
Erwartungsnutzen
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Expected utility
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Hedging
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Incomplete market
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Mathematical programming
4
Mathematische Optimierung
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Option pricing theory
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Optionspreistheorie
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Unvollkommener Markt
4
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3
Derivat
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Article
42
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Sammlung
Aufsatz in Zeitschrift
Article in journal
42
Arbeitspapier
36
Working Paper
36
Graue Literatur
35
Non-commercial literature
35
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2
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English
42
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Kraft, Holger
Li, Zhongfei
Platen, Eckhard
Fabozzi, Frank J.
41
Korn, Ralf
29
Escobar, Marcos
26
Li, Duan
25
Wong, Wing Keung
25
Zagst, Rudi
21
Markowitz, Harry
20
Prigent, Jean-Luc
20
Forsyth, Peter A.
17
Wang, Ruodu
17
Wong, Hoi Ying
17
Gollier, Christian
16
Post, Thierry
16
Jarrow, Robert A.
15
Levy, Haim
15
Lioui, Abraham
15
Yao, Haixiang
15
Chen, Zhiping
14
Cui, Xiangyu
14
Cvitanić, Jakša
14
Rüschendorf, Ludger
14
Vanduffel, Steven
14
Kwon, Roy H.
13
Liang, Zongxia
13
Sass, Jörn
13
Siu, Tak Kuen
13
Zeng, Yan
13
Zhou, Guofu
13
Dai, Min
12
Guerard, John Baynard
12
Li, Xun
12
Lo, Andrew W.
12
Maurer, Raimond
12
Račev, Svetlozar T.
12
Schenk-Hoppé, Klaus Reiner
12
Young, Virginia R.
12
Zariphopoulou-Souganidis, Thaleia
12
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Insurance / Mathematics & economics
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
7
International journal of theoretical and applied finance
6
European journal of operational research : EJOR
3
Journal of economic dynamics & control
3
Mathematical methods of operations research
3
Asia-Pacific financial markets
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Australian economic papers
1
Economic modelling
1
Finance and stochastics
1
Journal of banking & finance
1
Operations research letters
1
Quantitative finance
1
The Kyoto economic review
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
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ECONIS (ZBW)
42
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1
Pandemic portfolio choice
Kraft, Holger
;
Weiss, Farina
- In:
European journal of operational research : EJOR
305
(
2023
)
1
,
pp. 451-462
Persistent link: https://www.econbiz.de/10013479223
Saved in:
2
Portfolio choice with illiquid asset for a loss-averse pension fund investor
Chen, Zheng
;
Li, Zhongfei
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 60-83
Persistent link: https://www.econbiz.de/10013534511
Saved in:
3
Bequest motives in consumption-portfolio decisions with recursive utility
Kraft, Holger
;
Munk, Claus
;
Weiss, Farina
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013461758
Saved in:
4
Dynamic asset allocation for target date funds under the benchmark approach
Sun, Jin
;
Zhu, Dan
;
Platen, Eckhard
- In:
ASTIN bulletin : the journal of the International …
51
(
2021
)
2
,
pp. 449-474
Persistent link: https://www.econbiz.de/10012523252
Saved in:
5
Approximating the growth optimal portfolio and stock price bubbles
Platen, Eckhard
;
Rendek, Renata
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012496905
Saved in:
6
Dynamic asset allocation with relative wealth concerns in incomplete markets
Kraft, Holger
;
Meyer-Wehmann, André
;
Seifried, Frank Thomas
- In:
Journal of economic dynamics & control
113
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012502492
Saved in:
7
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
Kang, Zhilin
;
Li, Xun
;
Li, Zhongfei
;
Zhu, Shushang
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 105-121
Persistent link: https://www.econbiz.de/10012194623
Saved in:
8
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Wang, Pei
;
Li, Zhongfei
- In:
Insurance / Mathematics & economics
80
(
2018
),
pp. 67-83
Persistent link: https://www.econbiz.de/10011872914
Saved in:
9
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:
10
Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
Bian, Lihua
;
Li, Zhongfei
;
Yao, Haixiang
- In:
Insurance / Mathematics & economics
81
(
2018
),
pp. 78-94
Persistent link: https://www.econbiz.de/10011904623
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