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~isPartOf:"Mathematical methods of operations research"
~subject:"Dynamische Optimierung"
~subject:"Risk"
~subject:"Transaktionskosten"
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Search: subject_exact:"Portfolio performance"
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Dynamische Optimierung
Risk
Transaktionskosten
Portfolio selection
83
Portfolio-Management
83
Theorie
68
Theory
68
Stochastic process
24
Stochastischer Prozess
24
Risiko
12
Mathematical programming
10
Mathematische Optimierung
10
Dynamic programming
9
Hedging
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Option pricing theory
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Optionspreistheorie
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Korn, Ralf
2
Schäl, Manfred
2
Albeverio, Sergio
1
Alvarez, Luis H. R.
1
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1
Bielecki, Thomas
1
Chen, Lihua
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Mathematical methods of operations research
Insurance / Mathematics & economics
142
European journal of operational research : EJOR
102
Journal of banking & finance
87
Finance research letters
71
NBER working paper series
62
Finance and stochastics
60
Risks : open access journal
59
International journal of theoretical and applied finance
48
International review of financial analysis
46
Quantitative finance
46
NBER Working Paper
45
Journal of economic dynamics & control
43
Working paper / National Bureau of Economic Research, Inc.
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Journal of financial economics
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Research paper series / Swiss Finance Institute
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Mathematical finance : an international journal of mathematics, statistics and financial theory
39
The journal of asset management
39
International review of economics & finance : IREF
37
Journal of empirical finance
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Economic modelling
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Mathematics and financial economics
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The North American journal of economics and finance : a journal of financial economics studies
32
Discussion paper / Centre for Economic Policy Research
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Swiss Finance Institute Research Paper
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Applied economics
28
Management science : journal of the Institute for Operations Research and the Management Sciences
28
The journal of portfolio management : a publication of Institutional Investor
27
Economics letters
26
Journal of risk and financial management : JRFM
25
The European journal of finance
25
Discussion paper / Tinbergen Institute
24
Journal of risk
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Scandinavian actuarial journal
23
The review of financial studies
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Computational economics
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Operations research
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Journal of international financial markets, institutions & money
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Discussion papers / CEPR
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ECONIS (ZBW)
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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
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:
4
Regularity properties in a state-constrained expected utility maximization problem
Lazgham, Mourad
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 185-240
Persistent link: https://www.econbiz.de/10011935660
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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:
8
Convex hedging of non-superreplicable claims in discrete-time market models
Tkalinski, Tomasz J.
- In:
Mathematical methods of operations research
79
(
2014
)
2
,
pp. 239-252
Persistent link: https://www.econbiz.de/10010347953
Saved in:
9
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:
10
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
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