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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Stochastischer Prozess"
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Search: subject:"Mathematische Optimierung"
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Stochastischer Prozess
Mathematical programming
47
Mathematische Optimierung
47
Portfolio selection
27
Portfolio-Management
27
Theorie
27
Theory
27
Stochastic process
13
Option pricing theory
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Optionspreistheorie
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Control theory
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Dynamic programming
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Dynamische Optimierung
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Kontrolltheorie
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Robust statistics
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Robustes Verfahren
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Option trading
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Optionsgeschäft
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Hedging
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Risiko
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Risk
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mean-variance portfolio selection
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stochastic control
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Algorithm
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Algorithmus
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Decision under uncertainty
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Entscheidung unter Unsicherheit
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Experiment
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Martingal
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Martingale
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Portfolio optimization
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Probability theory
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Wahrscheinlichkeitsrechnung
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duality
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Derivat
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Derivative
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Mnif, Mohamed
2
Barger, Weston
1
Bielecki, Tomasz R.
1
Bouveret, Géraldine
1
Chen, Ping
1
Chen, Tao
1
Chen, Zhiping
1
Cialenco, Igor
1
Fabozzi, Frank J.
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Faidi, Wahid
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Friedman, Craig
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Imkeller, Peter
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Lin, Hongcan
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Lorig, Matthew
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Lozza, Sergio Ortobelli
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Løkka, Arne
1
Matoussi, Anis
1
Mrad, Mohamed
1
Réveillac, Anthony
1
Sass, Jörn
1
Saunders, David M.
1
Shalit, Haim
1
Wang, Liyuan
1
Weng, Chengguo
1
Westphal, Dorothee
1
Xu, Junwei
1
Yao, Haixiang
1
Zhang, Jianing
1
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International journal of theoretical and applied finance
European journal of operational research : EJOR
280
Computers & operations research : and their applications to problems of world concern ; an international journal
101
Operations research
78
Operations research letters
68
Mathematics of operations research
62
International journal of production research
59
INFORMS journal on computing : JOC
51
International journal of production economics
41
Computational Management Science : CMS
39
Transportation research / E : an international journal
36
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
32
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
31
Omega : the international journal of management science
30
Annals of operations research
26
Management science : journal of the Institute for Operations Research and the Management Sciences
22
OR spectrum : quantitative approaches in management
19
Mathematical methods of operations research
18
IMA journal of management mathematics
16
Les cahiers du GERAD
16
Top : an official journal of the Spanish Society of Statistics and Operations Research
16
Insurance / Mathematics & economics
15
Computational economics
14
Computational management science
13
International transactions in operational research : a journal of the International Federation of Operational Research Societies
12
Journal of the Operational Research Society
12
Operational research : an international journal
12
EURO journal on transportation and logistics
11
Opsearch : journal of the Operational Research Society of India
11
Quantitative finance
11
European journal of industrial engineering : EJIE
10
Journal of the Operational Research Society : OR
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
CIRRELT
9
Finance and stochastics
9
Manufacturing & service operations management : M & SOM
9
Socio-economic planning sciences : the international journal of public sector decision-making
9
Working papers / TSE : WP
9
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
9
Energy economics
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ECONIS (ZBW)
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1
Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.
;
Chen, Tao
;
Cialenco, Igor
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012650186
Saved in:
2
Mixture of consistent stochastic utilities, and a priori randomness
Mrad, Mohamed
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650235
Saved in:
3
Robust utility maximization in a multivariate financial market with stochastic drift
Sass, Jörn
;
Westphal, Dorothee
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652713
Saved in:
4
Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne
;
Xu, Junwei
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012496903
Saved in:
5
Optimal liquidation under stochastic price impact
Barger, Weston
;
Lorig, Matthew
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012012935
Saved in:
6
Portfolio optimization with performance ratios
Lin, Hongcan
;
Saunders, David M.
;
Weng, Chengguo
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012153014
Saved in:
7
Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
Chen, Zhiping
;
Wang, Liyuan
;
Chen, Ping
;
Yao, Haixiang
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012153045
Saved in:
8
Portfolio optimization under a quantile hedging constraint
Bouveret, Géraldine
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011956927
Saved in:
9
Optimal stochastic control problem under model uncertainty with nonentropy penalty
Faidi, Wahid
;
Matoussi, Anis
;
Mnif, Mohamed
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011686954
Saved in:
10
Optimal risk control under marked point processes shocks : a dynamic programming duality approach
Mnif, Mohamed
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-45
Persistent link: https://www.econbiz.de/10010233243
Saved in:
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