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Signal-to-noise matrix and mod...
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Stochastic process
Portfolio selection
33
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15
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12
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Sass, Jörn
9
Haussmann, Ulrich G.
2
Putyatina, Oleksandra
2
Westphal, Dorothee
2
Hahn, Markus
1
Kochendörfer, Alexandra
1
Leoff, Elisabeth
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International journal of theoretical and applied finance
2
Computational Management Science : CMS
1
Finance and stochastics
1
Mathematical methods of operations research : ZOR
1
Operations research proceedings 2003 : selected papers of the International Conference on Operations Research (OR 2003), Heidelberg, September 3 - 5, 2003 ; with 51 tables
1
Operations research proceedings 2007 : selected papers of the Annual International Conference of the German Operations Research Society (GOR) ; Saarbrücken, September 5 - 7, 2007
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Signal-to-noise matrix and model reduction in continuous-time hidden Markov models
Leoff, Elisabeth
;
Ruderer, Leonie
;
Sass, Jörn
- In:
Mathematical methods of operations research : ZOR
95
(
2022
)
2
,
pp. 327-359
Persistent link: https://www.econbiz.de/10013454890
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2
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
Saved in:
3
Optimizing the terminal wealth under partial information : the drift process as a continuous time markov chain
Sass, Jörn
;
Haussmann, Ulrich G.
- In:
Finance and stochastics
8
(
2004
)
4
,
pp. 553-577
Persistent link: https://www.econbiz.de/10002261492
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4
Filtering, approximation and portfolio optimization for shot-noise models and the heston model
Putyatina, Oleksandra
-
2012
Persistent link: https://www.econbiz.de/10009728923
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5
Maximizing the asymptotic growth rate under fixed and proportional transaction costs in a financial market with jumps
Kochendörfer, Alexandra
-
2012
Persistent link: https://www.econbiz.de/10009728924
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6
Optimizing consumption and investment : the case of partial information
Hahn, Markus
;
Putschögl, Wolfgang
;
Sass, Jörn
- In:
Operations research proceedings 2007 : selected papers …
,
(pp. 57-62)
.
2008
Persistent link: https://www.econbiz.de/10003716063
Saved in:
7
Approximation for portfolio optimization in a financial market with shot-noise jumps
Putyatina, Oleksandra
;
Sass, Jörn
- In:
Computational Management Science : CMS
15
(
2018
)
2
,
pp. 161-186
Persistent link: https://www.econbiz.de/10011876522
Saved in:
8
Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
Sass, Jörn
;
Westphal, Dorothee
;
Wunderlich, Ralf
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011687059
Saved in:
9
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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