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~isPartOf:"Mathematical methods of operations research"
~subject:"Risk"
~subject:"Transaktionskosten"
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Transaktionskosten
Portfolio selection
83
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24
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Mathematical methods of operations research
Insurance / Mathematics & economics
128
European journal of operational research : EJOR
89
Journal of banking & finance
83
Finance research letters
66
NBER working paper series
61
Risks : open access journal
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53
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
Optimal payout policy in presence of downside risk
Alvarez, Luis H. R.
;
Rakkolainen, Teppo A.
- In:
Mathematical methods of operations research
69
(
2009
)
1
,
pp. 27-58
Persistent link: https://www.econbiz.de/10003858043
Saved in:
10
On convex risk measures on Lp-spaces
Kaina, M.
;
Rüschendorf, Ludger
- In:
Mathematical methods of operations research
69
(
2009
)
3
,
pp. 475-495
Persistent link: https://www.econbiz.de/10003858273
Saved in:
11
Scaling issues for risky asset modelling
Heyde, Chris C.
- In:
Mathematical methods of operations research
69
(
2009
)
3
,
pp. 593-603
Persistent link: https://www.econbiz.de/10003858284
Saved in:
12
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:
13
A unified approach to portfolio optimization with linear transaction costs
Zakamouline, Valeri I.
- In:
Mathematical methods of operations research
62
(
2005
)
2
,
pp. 319-343
Persistent link: https://www.econbiz.de/10003226181
Saved in:
14
On-Line portfolio selection strategy with prediction in the presence of transaction costs
Albeverio, Sergio
;
Lao, LanJun
;
Zhao, XueLei
- In:
Mathematical methods of operations research
54
(
2001
)
1
,
pp. 133-161
Persistent link: https://www.econbiz.de/10001628096
Saved in:
15
Consumption and portfolio selection with labor income : a discrete-time approach
Koo, Hyeng-keun
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 219-243
Persistent link: https://www.econbiz.de/10001428093
Saved in:
16
Super-replication under proportional transaction costs : from discrete to continuous-time models
Touzi, Nizar
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 297-320
Persistent link: https://www.econbiz.de/10001428812
Saved in:
17
Rsik sensitive portfolio optimization
Stettner, Lukasz
- In:
Mathematical methods of operations research
50
(
1999
)
3
,
pp. 463-474
Persistent link: https://www.econbiz.de/10001466519
Saved in:
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