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Optimal portfolios : new variations of an old theme

Korn, Ralf - In: Computational Management Science : CMS 5 (2008) 4, pp. 289-304

Persistent link: https://www.econbiz.de/10003758290

Value preserving strategies and a general framework for local approaches to optimal portfolios

Korn, Ralf - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 227-241

Persistent link: https://www.econbiz.de/10002177631

Optimal portfolios : stochastic models for optimal investment and risk management in continuous time

Korn, Ralf - 1997

Persistent link: https://www.econbiz.de/10014277429

Special issue "computational finance and risk analysis in insurance"

Korn, Ralf - In: Risks : open access journal 10 (2022) 3, pp. 1-2

Persistent link: https://www.econbiz.de/10013093134

Optimal portfolios with stochastic interest rates and defaultable assets

Kraft, Holger - 2004

Persistent link: https://www.econbiz.de/10004796028

Elasticity approach to portfolio optimization

Kraft, Holger - In: Mathematical methods of operations research 58 (2003) 1, pp. 159-182

Persistent link: https://www.econbiz.de/10001788410

Optimal portfolios with stochastic interest rates and defaultable assets

Kraft, Holger - 2004

Persistent link: https://www.econbiz.de/10002018962

Optimal portfolios with stochastic short rate : pitfalls when the short rate is non-Gaussian or the market price of risk is unbounded

Kraft, Holger - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 767-796

Persistent link: https://www.econbiz.de/10003911240

Pitfalls in static superhedging of barrier options

Kraft, Holger - In: Finance research letters 4 (2007) 1, pp. 2-9

Persistent link: https://www.econbiz.de/10003442002

Optimal dynamic reinsurance with worst-case default of the reinsurer

Korn, Ralf; Müller, Lukas - In: European Actuarial Journal 12 (2022) 2, pp. 879-885

We consider the optimization problem of a large insurance company that wants to maximize the expected utility of its surplus through the optimal control of the proportional reinsurance. In addition, the insurer is exposed to the risk of default of its reinsurer at the worst possible time, a...

Persistent link: https://www.econbiz.de/10015191616