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~subject:"Bayes-Statistik"
~subject:"Deutschland"
~subject:"Portfolio selection"
~type_genre:"Book section"
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Advanced mathematical methods for finance
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Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets
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Stochastic optimization: theory and applications
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Kreditrisikomanagement : Portfoliomodelle und Derivate
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Stochastic programming : the state of the art ; in honor of Georg B. Dantzig
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Advances in finance and stochastics : essays in honour of Dieter Sondermann
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Annals of operations research ; volume 279, numbers 1/2 (August 2019)
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Datamining und computational finance : Ergebnisse des 7. Karsruher Ökonometrie-Workshops
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Dynamic stochastic optimization : [this volume includes a selection of papers presented at the IFIP/IIASA/GAMM-Workshop on "Dynamic Stochastic Optimization" held at the International Institute for Systems Analysis (IIASA), Laxenburg, Austria, March 11 - 14, 2002]/ Kurt Marti ... (eds.)
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Financial modelling : proceedings of the 23rd Meeting of the EURO Working Group
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Finanzierungstheorie auf vollkommenen und unvollkommenen Kapitalmärkten : Festschrift für Lutz Kruschwitz zum 65. Geburtstag
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Finanzwirtschaft, Kapitalmarkt und Banken : Festschrift für Manfred Steiner zum 60. Geburtstag
1
From stochastic calculus to mathematical finance : the Shiryaev Festschrift ; [Second Bachelier Colloquium on Stochastic Calculus and Probability, Metabief, France, January 9 - 15, 2005]
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Handbook of financial time series
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Handbook of heavy tailed distributions in finance
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A collective investment problem in a stochastic volatility environment : the impact of sharing rules
Chen, An
;
Nguyen, Thai
;
Rach, Manuel Matthias
-
2021
Persistent link: https://www.econbiz.de/10012605876
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2
Joint tails impact in stochastic volatility portfolio selection models
Bonomelli, Marco
;
Giacometti, Rosella
;
Ortobelli Lozza, …
- In:
Stochastic optimization: theory and applications
,
(pp. 833-848)
.
2020
Persistent link: https://www.econbiz.de/10012290845
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3
Enhanced index tracking with CVaR-based ratio measures
Guastaroba, Gianfranco
;
Mansini, Renata
;
Ogryczak, …
- In:
Stochastic optimization: theory and applications
,
(pp. 883-931)
.
2020
Persistent link: https://www.econbiz.de/10012290853
Saved in:
4
Long-term individual financial planning under stochastic dominance constraints
Consigli, Giorgio
;
Moriggia, Vittorio
;
Vitali, Sebastiano
- In:
Stochastic optimization: theory and applications
,
(pp. 973-1000)
.
2020
Persistent link: https://www.econbiz.de/10012290861
Saved in:
5
A multistage risk-averse stochastic programming model for personal savings accrual : the evidence from Lithuania
Kabašinskas, Audrius
;
Maggioni, Francesca
;
Šutienė, …
-
2019
Persistent link: https://www.econbiz.de/10012109495
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6
Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
Valladão, Davi
;
Silva, Thuener
;
Poggi, Marcus
- In:
Application of operations research to financial markets
,
(pp. 379-405)
.
2019
Persistent link: https://www.econbiz.de/10012160031
Saved in:
7
A simple efficient moment-based estimator for the stochastic volatility model
Ahsan, Nazmul
;
Dufour, Jean-Marie
-
2019
Persistent link: https://www.econbiz.de/10012244154
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8
Efficient simulations for a Bernoulli mixture model of portfolio credit risk
Başoğlu, İsmail
;
Hörmann, Wolfgang
;
Sak, Halis
- In:
Advances of OR in commodities and financial modeling
,
(pp. 113-128)
.
2018
Persistent link: https://www.econbiz.de/10011871371
Saved in:
9
Individual optimal pension allocation under stochastic dominance constraints
Kopa, Miloš
;
Moriggia, Vittorio
;
Vitali, Sebastiano
- In:
Advances of OR in commodities and financial modeling
,
(pp. 255-291)
.
2018
Persistent link: https://www.econbiz.de/10011871403
Saved in:
10
Testing the stochastic disorder model on stock markets
Sokko, Anastasiia
- In:
Essays in behavioural financial markets and asset pricing
,
(pp. 89-121)
.
2018
Persistent link: https://www.econbiz.de/10011876059
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