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Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach
Korn, Ralf; Menkens, Olaf - In: Mathematical methods of operations research 62 (2005) 1, pp. 123-140
Persistent link: https://www.econbiz.de/10006606451
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Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach
Korn, Ralf - In: Mathematical methods of operations research 60 (2004) 2, pp. 165-174
Persistent link: https://www.econbiz.de/10006608760
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Some applications of impulse control in mathematical finance
Korn, Ralf - In: Mathematical methods of operations research 50 (1999) 3, pp. 493
Persistent link: https://www.econbiz.de/10006625968
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On value preserving and growth optimal portfolios
Korn, Ralf; Schäl, Manfred - In: Mathematical methods of operations research 50 (1999) 2, pp. 189-218
Persistent link: https://www.econbiz.de/10006626466
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Value Preserving Portofolio Strategies and the Minimal Martingale Measure
Korn, Ralf - In: Mathematical methods of operations research 47 (1998) 2, pp. 169-180
Persistent link: https://www.econbiz.de/10006628956
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Contingent Claim Valuation in a Market with Different Interest Rates
Korn, Ralf - In: Zeitschrift für Operations-Research : ZOR ; … 42 (1995) 3, pp. 255-274
Persistent link: https://www.econbiz.de/10006633839
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Continuous-Time Portfolio Optimization Under Terminal Wealth Constraints
Korn, Ralf; Trautmann, Siegfried - In: Zeitschrift für Operations-Research : ZOR ; … 42 (1995) 1, pp. 69-92
Persistent link: https://www.econbiz.de/10006634312
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Optimal control of option portfolios and applications
Korn, Ralf; Trautmann, Siegfried - In: OR-Spektrum : quantitative approaches in management 21 (1999) 1, pp. 123-146
Persistent link: https://www.econbiz.de/10006844475
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Optimal Impulse Control When Control Actions Have Random Consequences
Korn, Ralf - In: Mathematics of operations research 22 (1997) 3, pp. 639-667
Persistent link: https://www.econbiz.de/10006420110
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Stocks Paying Discrete Dividends: Modeling and Option Pricing
Korn, Ralf; Rogers, L.C.G. - In: The journal of derivatives : the official publication … 13 (2005) 2, pp. 44-48
Persistent link: https://www.econbiz.de/10005919524