Narrow search
Showing 1 - 6 of 6
Cover Image
Portfolio optimization under transaction costs in the CRR model
Sass, Jörn - In: Mathematical methods of operations research 61 (2005) 2, pp. 239-260
Persistent link: https://www.econbiz.de/10006607246
Cover Image
Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain
Sass, Jörn; Haussmann, Ulrich G. - In: Finance and stochastics 8 (2004) 4, pp. 553-578
Persistent link: https://www.econbiz.de/10008223280
Cover Image
Estimating models based on Markov jump processes given fragmented observation series
Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 93 (2009) 4, pp. 403-426
Persistent link: https://www.econbiz.de/10008352239
Cover Image
Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Elliott, Robert J.; Krishnamurthy, Vikram; Sass, Jörn - In: The econometrics journal 11 (2008) 2, pp. 244-270
Persistent link: https://www.econbiz.de/10008077663
Cover Image
Primal-dual methods for the computation of trading regions under proportional transaction costs
Herzog, Roland; Kunisch, Karl; Sass, Jörn - In: Mathematical methods of operations research 77 (2013) 1, pp. 101-130
Persistent link: https://www.econbiz.de/10010070739
Cover Image
Optimal portfolio policies under bounded expected loss and partial information
Sass, Jörn; Wunderlich, Ralf - In: Mathematical methods of operations research 72 (2010) 1, pp. 25-62
Persistent link: https://www.econbiz.de/10008453400