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~subject:"Mathematische Optimierung"
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Mathematische Optimierung
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Theory
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Optionspreistheorie
15
Option pricing theory
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Transaction costs
13
Transaktionskosten
12
Portfolio selection
10
Portfolio-Management
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Martingale
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Capital-Asset-Pricing-Modell
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Proportional transaction costs
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risk measures
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Fatou property
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Foreign exchange markets
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English
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Schachermayer, Walter
4
Beiglböck, Mathias
1
Gerhold, Stefan
1
Muhle-Karbe, Johannes
1
Pammer, Gudmund
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Finance and stochastics
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Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
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ECONIS (ZBW)
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From Bachelier to Dupire via optimal transport
Beiglböck, Mathias
;
Pammer, Gudmund
;
Schachermayer, Walter
- In:
Finance and stochastics
26
(
2022
)
1
,
pp. 59-84
Persistent link: https://www.econbiz.de/10012796471
Saved in:
2
The dual optimizer for the growth-optimal portfolio under transaction costs
Gerhold, Stefan
;
Muhle-Karbe, Johannes
;
Schachermayer, …
- In:
Finance and stochastics
17
(
2013
)
2
,
pp. 325-354
Persistent link: https://www.econbiz.de/10009730811
Saved in:
3
Portfolio optimization in incomplete financial markets
Schachermayer, Walter
-
2004
Persistent link: https://www.econbiz.de/10003469901
Saved in:
4
Optimal investment in incomplete financial markets
Schachermayer, Walter
- In:
Mathematical finance - Bachelier Congress, 2000 : …
,
(pp. 427-462)
.
2002
Persistent link: https://www.econbiz.de/10001679464
Saved in:
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