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Investment decisions with distorted probability and transaction costs

Kozhan, Roman; Schmid, Wolfgang - 2006

Persistent link: https://www.econbiz.de/10004865275

Optimal investment decisions with exponential utility function

Kozhan, Roman; Schmid, Wolfgang - 2005

Persistent link: https://www.econbiz.de/10004823107

Optimal investment decisions with exponential utility function

Kozhan, Roman; Schmid, Wolfgang - 2005

Persistent link: https://www.econbiz.de/10002913595

Asset allocation with distorted beliefs and transaction costs

Kozhan, Roman; Schmid, Wolfgang - In: European journal of operational research : EJOR 194 (2009) 1, pp. 236-249

Persistent link: https://www.econbiz.de/10003835447

Multiple priors and no-transaction region

Kozhan, Roman - 2006

Persistent link: https://www.econbiz.de/10004865271

Non-additive anonymous games

Kozhan, Roman - 2008

Persistent link: https://www.econbiz.de/10008856294

Non-additive anonymous games

Kozhan, Roman - In: International journal of game theory : official journal … 40 (2011) 2, pp. 215-230

Persistent link: https://www.econbiz.de/10009161525

Multiple priors and no-transaction region

Kozhan, Roman (contributor) - 2006

We study single period asset allocation problems of the investor who maximizes the expected utility with respect to non-additive beliefs. The non-additive beliefs of the investor model the presence of an uncertainty and they are assumed to be consistent with the Maxmin expected utility theory of...

Persistent link: https://www.econbiz.de/10003314471

An optimal decision rule for identifying outliers in time series

Schmid, Wolfgang - In: Österreichische Zeitschrift für Statistik und … 22 (1992) 2, pp. 119-133

Persistent link: https://www.econbiz.de/10001150117

Eighty years of control charts

Schmid, Wolfgang - 2008

Persistent link: https://www.econbiz.de/10003800410