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Portfolio optimisation with strictly positive transaction costs and impulse control

Korn, Ralf - In: Finance and stochastics 2 (1998) 2, pp. 85-114

Persistent link: https://www.econbiz.de/10008218818

Some applications of L2-hedging with a non-negative wealth process

Korn, Ralf - In: Applied mathematical finance 4 (1997) 1, pp. 65

Persistent link: https://www.econbiz.de/10008219570

LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS

DESMETTRE, SASCHA; KORN, RALF; SEIFRIED, FRANK THOMAS - In: International Journal of Theoretical and Applied … 18 (2015) 01, pp. 1550004-1

We investigate worst-case optimal consumption and portfolio decisions under the threat of a market crash on an infinite time horizon. We provide a closed-form solution for constant relative risk aversion and establish a rigorous verification result. More specifically, using martingale arguments...

Persistent link: https://www.econbiz.de/10011279131

Continuous-time mean-variance portfolios: a comparison

Alp, zge Sezgin; Korn, Ralf - In: Optimization : a journal of mathematical programming … 62 (2013) 7, pp. 961-973

Persistent link: https://www.econbiz.de/10010139575

OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY‐BASED CONTROL FRAMEWORK

Busch, Michael; Korn, Ralf; Seifried, Frank Thomas - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 687-717

Persistent link: https://www.econbiz.de/10010161821

Interest rate derivatives - Fast gammas for Bermudan swaptions - Adjoint differentiation is an efficient way to accurately calculate the Greeks of Libor derivatives by Monte Carlo simulation. The authors extend this to calculate the gamma matrices of Bermudan swaptions more quickly than existing approaches.

Korn, Ralf; Liang, Qian - In: Risk : managing risk in the world's financial markets 26 (2013) 9, pp. 94-99

Persistent link: https://www.econbiz.de/10010183165

Editorial

Korn, Ralf; Schweizer, Martin - In: Finance and stochastics 13 (2009) 3, pp. 305-306

Persistent link: https://www.econbiz.de/10008274840

The optimal-drift model: an accelerated binomial scheme

Korn, Ralf; Müller, Stefanie - In: Finance and stochastics 17 (2012) 1, pp. 135-160

Persistent link: https://www.econbiz.de/10010057622

Adressrisikomodelle: Die Risikoeinschätzung verbessern

Fraß, Nina; Korn, Ralf; Schnabl, Jan; Vorgrimler, Stephan - In: Die Bank : Zeitschrift für Bankpolitik und Praxis (2010) 2, pp. 48-54

Persistent link: https://www.econbiz.de/10008379082

Optimal portfolios under the threat of a crash

Korn, Ralf; Wilmott, Paul - In: International journal of theoretical and applied finance 5 (2002) 2, pp. 171-187

Persistent link: https://www.econbiz.de/10001662970