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Multi-asset worst-case optimal portfolios
Korn, Ralf; Leoff, Elisabeth - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10012030905
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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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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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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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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