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FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn; Smaga, Martin - In: Finance and stochastics 18 (2014) 4, pp. 805-823
Persistent link: https://www.econbiz.de/10010416234
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Finite-horizon optimal investment with transaction costs : construction of the optimal strategies
Belak, Christoph; Sass, Jörn - In: Finance and stochastics 23 (2019) 4, pp. 861-888
Persistent link: https://www.econbiz.de/10012114661
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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
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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
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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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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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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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Numeraire portfolios and utility-based price systems under proportional transaction costs
Sass, Jörn; Schäl, Manfred - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 2, pp. 195-234
Persistent link: https://www.econbiz.de/10010412499
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Filtering, approximation and portfolio optimization for shot-noise models and the heston model
Putyatina, Oleksandra - 2012
Persistent link: https://www.econbiz.de/10009728923