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~subject:"Portfolio selection"
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Portfolio selection
Theorie
274
Theory
272
Optionspreistheorie
160
Option pricing theory
157
Stochastic process
111
Stochastischer Prozess
111
Markov chain
82
Markov-Kette
80
Portfolio-Management
73
CAPM
60
Risk
59
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58
Volatilität
58
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57
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48
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48
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45
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43
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43
Großbritannien
42
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40
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40
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31
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31
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30
Credit risk
29
Risk management
29
USA
29
United States
29
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28
Auslandsinvestition
27
Foreign investment
27
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27
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47
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English
72
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Madan, Dilip B.
35
Siu, Tak Kuen
22
Elliott, Robert J.
18
Schoutens, Wim
6
Wang, King
6
Mamon, Rogemar S.
5
Ching, Wai Ki
4
Milne, Frank
4
Shen, Yang
4
Zhu, Dong-Mei
3
Badescu, Alex
2
Corcuera, José Manuel
2
Guillaume, Florence
2
Reyners, Sofie
2
Sharaiha, Yazid M.
2
Wang, Ning
2
Yu, Feng-Hui
2
Zhang, Xin
2
Zhu, Song-Ping
2
Zinchenko, Yuriy
2
Asimit, Alexandru V.
1
Asimit, Alexandru Vali
1
Badescu, Alexandru
1
Badescu, Alexandru M.
1
Bradrania, Reza
1
Callen, Jeffrey L.
1
Colwell, David B.
1
De Spiegeleer, Jan
1
Eberlein, Ernst
1
Elliott, Robert
1
Elliott, Robert Frank
1
Geman, Hélyette
1
Goswami, Anindya
1
Gu, Jia-Wen
1
Gu, Jia-wen
1
Gueyie, Jean-Pierre
1
Hinz, Juri
1
Hoek, John van der
1
Jarrow, Robert
1
Jarrow, Robert A.
1
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Bachelier Finance Society
1
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Economic modelling
4
Quantitative finance
4
Robert H. Smith School Research Paper
4
Finance and stochastics
3
IMA journal of management mathematics
3
International journal of theoretical and applied finance
3
Annals of operations research
2
European journal of operational research : EJOR
2
International Series in Operations Research & Management Science
2
International series in operations research & management science
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
SpringerLink / Bücher
2
The journal of investment strategies
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Advances in finance and stochastics : essays in honour of Dieter Sondermann
1
Annals of finance
1
Asia-Pacific financial markets
1
Contemporary quantitative finance : essays in honour of Eckhard Platen
1
Discussion paper / Institute for Economic Research, Queen's University
1
Insurance / Mathematics & economics
1
International Journal of Portfolio Analysis and Management
1
International journal of financial engineering and risk management
1
International journal of portfolio analysis and management : IJPAM
1
Journal of economic dynamics & control
1
Journal of economic theory
1
Journal of mathematical economics
1
Mathematical methods of operations research
1
Mathematical methods of operations research : ZOR
1
Operations research letters
1
Queen's Economics Department working paper
1
Review of accounting studies
1
Risk and decision analysis
1
Risks : open access journal
1
Springer finance
1
The journal of credit risk : published quarterly by Incisive Media
1
The journal of derivatives : JOD
1
The journal of futures markets
1
The journal of risk model validation
1
Working papers in economics and econometrics
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ECONIS (ZBW)
72
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1
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, Robert J.
;
Siu, Tak Kuen
-
2010
Persistent link: https://www.econbiz.de/10003964890
Saved in:
2
On mean-variance portfolio selection under a hidden Markovian regime-switching model
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alex
- In:
Economic modelling
27
(
2010
)
3
,
pp. 678-686
Persistent link: https://www.econbiz.de/10003995557
Saved in:
3
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
4
Incomplete diversification and asset pricing
Madan, Dilip B.
;
Milne, Frank
;
Elliott, Robert J.
-
1992
Persistent link: https://www.econbiz.de/10000135929
Saved in:
5
Incomplete diversification and asset pricing
Madan, Dilip B.
;
Milne, Frank
;
Elliott, Robert J.
- In:
Advances in finance and stochastics : essays in honour …
,
(pp. 101-124)
.
2002
Persistent link: https://www.econbiz.de/10001672227
Saved in:
6
A BSDE approach to risk-based asset allocation of pension funds with regime switching
Siu, Tak Kuen
-
2012
Persistent link: https://www.econbiz.de/10009710207
Saved in:
7
An improved multivariate Markov chain model for credit risk
Ching, Wai Ki
;
Siu, Tak Kuen
;
Li, Li-min
;
Jiang, Hao
; …
- In:
The journal of credit risk : published quarterly by …
5
(
2009/10
)
4
,
pp. 83-106
Persistent link: https://www.econbiz.de/10003927496
Saved in:
8
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Lin, Xiang
;
Zhang, Chunhong
;
Siu, Tak Kuen
- In:
Mathematical methods of operations research
75
(
2012
)
1
,
pp. 83-100
Persistent link: https://www.econbiz.de/10009490707
Saved in:
9
A decomposition method for optimal portfolios with regime-switching and risk constraint
Liu, Jingzhen
;
Yiu, Ka-fai Cedric
;
Siu, Tak Kuen
- In:
Risk and decision analysis
3
(
2012
)
4
,
pp. 269-276
Persistent link: https://www.econbiz.de/10009704597
Saved in:
10
Asset allocation under stochastic interest rate with regime switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
29
(
2012
)
4
,
pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
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