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Portfolio optimization under t...
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Mathematical programming
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30
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14
Portfolio optimization
13
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11
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Utility maximization
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Börsenkurs
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Consistent price system
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Schätztheorie
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Share price
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Volatility
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Sass, Jörn
5
Westphal, Dorothee
2
Haussmann, Ulrich G.
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Putschögl, Wolfgang
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Vonwirth, Christian
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Decisions in economics and finance : DEF ; a journal of applied mathematics
1
International journal of theoretical and applied finance
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Mathematics and financial economics
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Operations research proceedings 2003 : selected papers of the International Conference on Operations Research (OR 2003), Heidelberg, September 3 - 5, 2003 ; with 51 tables
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ECONIS (ZBW)
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Portfolio optimization under partial information: stochastic volatility in a hidden Markov model
Sass, Jörn
;
Haussmann, Ulrich G.
- In:
Operations research proceedings 2003 : selected papers …
,
(pp. 387-394)
.
2004
Persistent link: https://www.econbiz.de/10002072557
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2
Optimal consumption and investment under partial information
Putschögl, Wolfgang
;
Sass, Jörn
- In:
Decisions in economics and finance : DEF ; a journal of …
31
(
2008
)
2
,
pp. 137-170
Persistent link: https://www.econbiz.de/10003771480
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3
Continuous-time portfolio optimization under partial information and convex constraints : deriving explicit results
Vonwirth, Christian
-
2017
Persistent link: https://www.econbiz.de/10012659449
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4
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
Saved in:
5
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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