Similar Search Results

Geissel, Sebastian; Sass, Jörn; Seifried, Frank Thomas - In: Statistics & Risk Modeling 35 (2018) 1-2, pp. 73-87

Abstract This paper introduces optimal expected utility (OEU) risk measures, investigates their main properties and puts them in perspective to alternative risk measures and notions of certainty equivalents. By taking the investor’s point of view, OEU maximizes the sum of capital available...

Persistent link: https://www.econbiz.de/10014621266

An arbitrage-free real-world model for fractional option prices

Fink, Holger Maria - In: The journal of derivatives : JOD 29 (2021) 1, pp. 95-121

Persistent link: https://www.econbiz.de/10012612945

Implied correlation indices and volatility forecasting

Fink, Holger Maria; Geppert, Sabrina - In: Applied economics letters 24 (2017) 7/9, pp. 584-588

Persistent link: https://www.econbiz.de/10011713025

Dynamics of foreign exchange implied volatility and implied correlation surfaces

Beer, Simone; Fink, Holger Maria - In: Quantitative finance 19 (2019) 8, pp. 1293-1320

Persistent link: https://www.econbiz.de/10012194789

Filter‐based portfolio strategies in an HMM setting with varying correlation parametrizations

Erlwein‐Sayer, Christina; Grimm, Stefanie; … - In: Applied Stochastic Models in Business and Industry 36 (2019) 3, pp. 307-334

Persistent link: https://www.econbiz.de/10012272501

Approximation for portfolio optimization in a financial market with shot-noise jumps

Putyatina, Oleksandra; Sass, Jörn - In: Computational Management Science : CMS 15 (2018) 2, pp. 161-186

Persistent link: https://www.econbiz.de/10011876522

Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift

Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10011687059

Finite-horizon optimal investment with transaction costs : construction of the optimal strategies

Belak, Christoph; Sass, Jörn - In: Finance and stochastics 23 (2019) 4, pp. 861-888

Persistent link: https://www.econbiz.de/10012114661

Robust utility maximization in a multivariate financial market with stochastic drift

Sass, Jörn; Westphal, Dorothee - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10012652713

Combining multi-asset and intrinsic risk measures

Laudagé, Christian; Sass, Jörn; Wenzel, Jörg - In: Insurance / Mathematics & economics 106 (2022), pp. 254-269

Persistent link: https://www.econbiz.de/10013380532