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~subject:"Decision under uncertainty"
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Decision under uncertainty
Portfolio selection
33
Portfolio-Management
33
Theorie
31
Theory
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Transaction costs
15
Markov chain
12
Portfolio optimization
12
Markov-Kette
11
Transaktionskosten
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Risiko
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Risk
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Stochastic process
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Stochastischer Prozess
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Risk measure
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Mathematical programming
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Mathematische Optimierung
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Risikomaß
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Utility maximization
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Incomplete information
5
Measurement
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Messung
5
Unvollkommene Information
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Börsenkurs
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Consistent price system
4
Erwartungsnutzen
4
Estimation theory
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Expected utility
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Life insurance
4
Monte Carlo simulation
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Monte-Carlo-Simulation
4
Option pricing theory
4
Optionspreistheorie
4
Proportional transaction costs
4
Risikomanagement
4
Risk management
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Schätztheorie
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Share price
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Volatility
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Volatilität
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English
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Sass, Jörn
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Westphal, Dorothee
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International journal of theoretical and applied finance
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Mathematics and financial economics
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ECONIS (ZBW)
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Model uncertainty and expert opinions in continuous-time financial markets
Westphal, Dorothee
-
2019
Persistent link: https://www.econbiz.de/10012172932
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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
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Robust utility maximizing strategies under model uncertainty and their convergence
Sass, Jörn
;
Westphal, Dorothee
- In:
Mathematics and financial economics
16
(
2022
)
2
,
pp. 367-397
Persistent link: https://www.econbiz.de/10013167940
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