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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Operations research"
~subject:"Optionspreistheorie"
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Optionspreistheorie
Theorie
399
Theory
399
Portfolio selection
305
Portfolio-Management
305
Mathematical programming
193
Mathematische Optimierung
193
Robust statistics
95
Robustes Verfahren
95
Stochastic process
71
Stochastischer Prozess
71
Optimization
63
Risk
57
Risiko
55
robust optimization
48
Risikomaß
42
Risk measure
42
CAPM
35
Decision under uncertainty
35
Entscheidung unter Unsicherheit
35
Dynamic programming
34
Dynamische Optimierung
31
Simulation
28
Algorithm
26
Algorithmus
25
Option pricing theory
25
distributionally robust optimization
25
Anlageverhalten
24
Behavioural finance
24
Hedging
24
Capital income
23
Kapitaleinkommen
23
Risikomanagement
22
Risk management
22
Financial investment
21
Kapitalanlage
21
Learning process
21
Lernprozess
21
Statistical distribution
21
Statistische Verteilung
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24
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2
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English
25
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Branger, Nicole
2
Damgaard, Anders
2
Zenios, Stauros Andrea
2
Ankirchner, Stefan
1
Augustyniak, Maciej
1
Badescu, Alexandru
1
Barletta, Andrea
1
Bo, Lijun
1
Chauveau, Thierry
1
Chen, Yuanyuan
1
Chen, Zheng
1
Colwell, David B.
1
Cui, Xueting
1
De Groot, Oliver
1
Elliott, Robert J.
1
Fabozzi, Frank J.
1
Feldman, David
1
Godin, Frédéric
1
Gollier, Christian
1
Guasoni, Paolo
1
Guo, Ivan
1
Hu, Wei
1
Hu, Yuan
1
Kraft, Holger
1
Kühn, Christoph
1
Li, Danping
1
Li, Duan
1
Lindquist, W. Brent
1
Liu, Rui Peng
1
Ma, Jiali
1
Mahayni, Antje
1
Mayerhofer, Eberhard
1
Muck, Matthias
1
Ortega, Juan-Pablo
1
Pang, Xiaochuan
1
Pichler, Alois
1
Račev, Svetlozar T.
1
Santucci de Magistris, Paolo
1
Schneider, Judith Christiane
1
Schweizer, Nikolaus
1
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Journal of economic dynamics & control
Operations research
International journal of theoretical and applied finance
36
Insurance / Mathematics & economics
32
Mathematical finance : an international journal of mathematics, statistics and financial theory
24
Finance and stochastics
22
Quantitative finance
21
Applied mathematical finance
18
European journal of operational research : EJOR
17
International journal of financial engineering
15
Journal of banking & finance
12
Journal of mathematical finance
12
The journal of computational finance
11
Mathematics and financial economics
10
Research paper series / Swiss Finance Institute
10
Journal of risk and financial management : JRFM
9
Risks : open access journal
9
SpringerLink / Bücher
9
Finance research letters
8
International review of financial analysis
8
Mathematical methods of operations research
8
Scandinavian actuarial journal
8
Review of derivatives research
7
The North American journal of economics and finance : a journal of financial economics studies
7
The journal of derivatives : JOD
7
Astin bulletin : the journal of the International Actuarial Association
6
Operations research letters
6
Risk and decision analysis
6
Chapman & Hall/CRC financial mathematics series
5
Computational Management Science : CMS
5
Economic modelling
5
Journal of financial economics
5
Mathematical finance : an international journal of mathematics, statistics and financial economics
5
Mathematics of operations research
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
SFB 649 discussion paper
5
Springer Texts in Business and Economics
5
The European journal of finance
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
4
Annals of finance
4
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ECONIS (ZBW)
25
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1
A nonparametric algorithm for optimal stopping based on robust
optimization
Sturt, Bradley
- In:
Operations research
71
(
2023
)
5
,
pp. 1530-1557
Persistent link: https://www.econbiz.de/10014393150
Saved in:
2
Counter-cyclical margins for option portfolios
Chen, Yuanyuan
;
Wu, Qi
;
Li, Duan
- In:
Journal of economic dynamics & control
146
(
2023
),
pp. 1-33
Persistent link: https://www.econbiz.de/10014478163
Saved in:
3
Systemic risk of optioned portfolio : controllability and
optimization
Pang, Xiaochuan
;
Zhu, Shushang
;
Cui, Xueting
;
Ma, Jiali
- In:
Journal of economic dynamics & control
153
(
2023
),
pp. 1-29
Persistent link: https://www.econbiz.de/10014479336
Saved in:
4
Risk-averse stochastic programming : time consistency and optimal stopping
Pichler, Alois
;
Liu, Rui Peng
;
Shapiro, Alexander
- In:
Operations research
70
(
2022
)
4
,
pp. 2439-2455
Persistent link: https://www.econbiz.de/10013366477
Saved in:
5
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
6
Options portfolio selection
Guasoni, Paolo
;
Mayerhofer, Eberhard
- In:
Operations research
68
(
2020
)
3
,
pp. 733-740
Persistent link: https://www.econbiz.de/10012234441
Saved in:
7
Non-transferable non-hedgeable executive stock option pricing
Colwell, David B.
;
Feldman, David
;
Hu, Wei
- In:
Journal of economic dynamics & control
53
(
2015
),
pp. 161-191
Persistent link: https://www.econbiz.de/10011526925
Saved in:
8
Robustness of stable volatility strategies
Branger, Nicole
;
Mahayni, Antje
;
Zieling, Daniel
- In:
Journal of economic dynamics & control
60
(
2015
),
pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
Saved in:
9
It only takes a few moments to hedge options
Barletta, Andrea
;
Santucci de Magistris, Paolo
;
Sloth, David
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
Saved in:
10
A profitable modification to global quadratic hedging
Augustyniak, Maciej
;
Godin, Frédéric
;
Simard, Clarence
- In:
Journal of economic dynamics & control
104
(
2019
),
pp. 111-131
Persistent link: https://www.econbiz.de/10012131108
Saved in:
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