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Portfolio optimization under partial information and convex constraints in a hidden Markov model
Sass, Jörn - In: Operations research proceedings 2005 : selected papers …, (pp. 223-228). 2006
Persistent link: https://www.econbiz.de/10003347537
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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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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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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
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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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Trading regions under proportional transaction costs
Kunisch, Karl; Sass, Jörn - In: Operations research proceedings 2006 : selected papers …, (pp. 563-568). 2007
Persistent link: https://www.econbiz.de/10003472122
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Optimal portfolios under bounded shortfall risk and partial information
Wunderlich, Ralf; Sass, Jörn; Gabih, Abdelali - In: Operations research proceedings 2006 : selected papers …, (pp. 581-586). 2007
Persistent link: https://www.econbiz.de/10003472251
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Optimal portfolio policies under bounded expected loss and partial information
Sass, Jörn; Wunderlich, Ralf - In: Mathematical methods of operations research 72 (2010) 1, pp. 25-61
Persistent link: https://www.econbiz.de/10008652566
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Estimating models based on Markov jump processes given fragmented observation series
Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 4, pp. 403-425
Persistent link: https://www.econbiz.de/10003910570
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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