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~subject:"Dynamische Optimierung"
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Dynamische Optimierung
Theorie
18
Theory
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Portfolio selection
7
Portfolio-Management
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Stochastic process
6
Stochastischer Prozess
6
Ansteckungseffekt
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Transaction costs
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Bankenkrise
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Banking crisis
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Choquet integral
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Finanzkrise
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Systemrisiko
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Transaktionskosten
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ambiguity
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Choquet expected utility
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Credit risk
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Dynamic programming
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Interbank market
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Interbankenmarkt
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Kreditrisiko
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Option pricing theory
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Optionspreistheorie
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distorted capacity
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distortion risk measure
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f-expectation
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quantile function with respect to a capacity
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Bank risk
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English
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Sulem, Agnès
3
Akian, Marianne
1
Bar-Ilan, Avner
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Zanello, Alessandro
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Journal of economic dynamics & control
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Numerical methods in finance
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ECONIS (ZBW)
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Dynamic optimization for a mixed portfolio with transaction costs
Sulem, Agnès
- In:
Numerical methods in finance
,
(pp. 165-180)
.
2008
Persistent link: https://www.econbiz.de/10003723939
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2
Time-to-build and capacity choice
Bar-Ilan, Avner
;
Sulem, Agnès
;
Zanello, Alessandro
- In:
Journal of economic dynamics & control
26
(
2002
)
1
,
pp. 69-98
Persistent link: https://www.econbiz.de/10001617069
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3
Dynamic optimization of long-term growth rate for a portfolio with transaction costs and logarithmic utility
Akian, Marianne
;
Sulem, Agnès
- In:
Mathematical finance : an international journal of …
11
(
2001
)
2
,
pp. 153-188
Persistent link: https://www.econbiz.de/10001650923
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