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~person:"Escobar, Marcos"
~subject:"Entscheidung unter Unsicherheit"
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Entscheidung unter Unsicherheit
Portfolio selection
4
Portfolio-Management
4
Robust statistics
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Robustes Verfahren
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Stochastic process
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Stochastischer Prozess
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Decision under uncertainty
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4/2 stochastic volatility model
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Multivariate Analyse
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Multivariate portfolio choice
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Option pricing theory
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Optionspreistheorie
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Risikoaversion
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Robust portfolio choice
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Escobar, Marcos
Sargent, Thomas J.
15
Hansen, Lars Peter
13
Hertog, Dirk den
11
Delage, Erick
10
Ben-Tal, Aharon
9
Goerigk, Marc
9
Ben-Haim, Yakov
8
Melenberg, Bertrand
6
Zieliński, Paweł
6
Chassein, André
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Dokka, Trivikram
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Giacomini, Raffaella
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Kasperski, Adam
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Kitagawa, Toru
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Sim, Melvyn
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Chung, Byung Do
4
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4
Larsen, Linda Sandris
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Ling, Aifan
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Ma, Yizhong
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Pflug, Georg
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Svec, Justin
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Tu, Yiliu
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Wiesemann, Wolfram
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Wong, Hoi Ying
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den Hertog, Dick
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Adam, Klaus
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Adulyasak, Yossiri
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Angelopoulos, Konstantinos
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Bondarev, Anton
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IMA journal of management mathematics
1
Journal of banking & finance
1
Quantitative finance
1
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ECONIS (ZBW)
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1
Robust portfolio choice under the 4/2 stochastic volatility model
Cheng, Yuyang
;
Escobar, Marcos
- In:
IMA journal of management mathematics
34
(
2023
)
1
,
pp. 221-256
Persistent link: https://www.econbiz.de/10013541857
Saved in:
2
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Bergen, V.
;
Escobar, Marcos
;
Rubtsov, A.
;
Zagst, Rudi
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1265-1294
Persistent link: https://www.econbiz.de/10011911537
Saved in:
3
Robust portfolio choice with derivative trading under stochastic volatility
Escobar, Marcos
;
Ferrando, Sebastian
;
Rubtsov, Alexey
- In:
Journal of banking & finance
61
(
2015
),
pp. 142-157
Persistent link: https://www.econbiz.de/10011545164
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