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~isPartOf:"Mathematical methods of operations research"
~subject:"Markov chain"
~subject:"Markov-Kette"
~subject:"Martingal"
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Markov chain
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Portfolio selection
83
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Schäl, Manfred
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Barz, C.
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Bi, Junna
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Grecksch, Wilfried
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Hernández-Hernández, Daniel
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Ibrahim, Dalia
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Mathematical methods of operations research
Finance and stochastics
36
Mathematical finance : an international journal of mathematics, statistics and financial theory
23
International journal of theoretical and applied finance
17
European journal of operational research : EJOR
14
Insurance / Mathematics & economics
11
Journal of economic dynamics & control
11
Mathematics and financial economics
10
Risks : open access journal
10
Quantitative finance
9
Journal of mathematical finance
8
Research paper series / Swiss Finance Institute
8
Annals of finance
7
Applied mathematical finance
7
Journal of risk and financial management : JRFM
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
Swiss Finance Institute Research Paper
6
Finance research letters
5
Financial markets and portfolio management
5
International journal of financial engineering
5
International review of financial analysis
5
Journal of empirical finance
5
Mathematics of operations research
5
Astin bulletin : the journal of the International Actuarial Association
4
Economic modelling
4
Operations research letters
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Applied financial economics
3
Computational economics
3
Decisions in economics and finance : DEF ; a journal of applied mathematics
3
Investment management and financial innovations
3
Journal of banking & finance
3
Journal of mathematical economics
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
OR spectrum : quantitative approaches in management
3
Research in international business and finance
3
The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
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Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
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Annals of economics and finance
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Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market
Bi, Junna
;
Liang, Zhibin
;
Yuen, Kam Chuen
- In:
Mathematical methods of operations research
90
(
2019
)
1
,
pp. 109-135
Persistent link: https://www.econbiz.de/10012116630
Saved in:
2
Non-linear filtering and optimal investment under partial information for stochastic volatility models
Ibrahim, Dalia
;
Abergel, Frédérik
- In:
Mathematical methods of operations research
87
(
2018
)
3
,
pp. 311-346
Persistent link: https://www.econbiz.de/10011874006
Saved in:
3
Power utility maximization in exponential Lévy models : convergence of discrete-time to continuous-time maximizers
Temme, Johannes P.
- In:
Mathematical methods of operations research
76
(
2012
)
1
,
pp. 21-41
Persistent link: https://www.econbiz.de/10009571220
Saved in:
4
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:
5
Risk-sensitive capacity control in revenue management C. Barz; K.-H. Waldmann
Barz, C.
;
Waldmann, Karl-Heinz
- In:
Mathematical methods of operations research
65
(
2007
)
3
,
pp. 565-579
Persistent link: https://www.econbiz.de/10003489796
Saved in:
6
Optimal portfolio strategies benchmarking the stock market
Gabih, Abdelali
;
Grecksch, Wilfried
;
Richter, Matthias
; …
- In:
Mathematical methods of operations research
64
(
2006
)
2
,
pp. 211-225
Persistent link: https://www.econbiz.de/10003380210
Saved in:
7
Portfolio optimization in stochastic markets
Çakmak, U.
;
Özekici, S.
- In:
Mathematical methods of operations research
63
(
2006
)
1
,
pp. 151-168
Persistent link: https://www.econbiz.de/10003285483
Saved in:
8
Portfolio optimization under transaction costs in the CRR model
Sass, Jörn
- In:
Mathematical methods of operations research
61
(
2005
)
2
,
pp. 239-259
Persistent link: https://www.econbiz.de/10002858606
Saved in:
9
Optimal portfolios for exponential Lévy processes
Kallsen, Jan
- In:
Mathematical methods of operations research
51
(
2000
)
3
,
pp. 357-374
Persistent link: https://www.econbiz.de/10001519649
Saved in:
10
Price systems constructed by optimal dynamic portfolios
Schäl, Manfred
- In:
Mathematical methods of operations research
51
(
2000
)
3
,
pp. 375-397
Persistent link: https://www.econbiz.de/10001519650
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