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~subject:"Portfolio-Management"
~person:"Sass, Jörn"
~person:"Escobar, Marcos"
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Portfolio-Management
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72
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58
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23
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23
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12
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12
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Sass, Jörn
Escobar, Marcos
Fabozzi, Frank J.
124
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78
Platen, Eckhard
54
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33
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32
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32
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31
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International journal of theoretical and applied finance
4
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3
Finance and stochastics
3
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
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1
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Operations research proceedings 2003 : selected papers of the International Conference on Operations Research (OR 2003), Heidelberg, September 3 - 5, 2003 ; with 51 tables
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1
Operations research proceedings 2006 : selected papers of the Annual International Conference of the German Operations Research Society (GOR), jointly organized with the Austrian Society of Operations Research (ÖGOR) and the Swiss Society of Operations Research (SVOR), Karlsruhe, September 6 - 8 2006 ; with 79 tables
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ECONIS (ZBW)
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1
Robust portfolio choice with derivative trading under stochastic volatility
Escobar, Marcos
;
Ferrando, Sebastian
;
Rubtsov, Alexey
- In:
Journal of banking & finance
61
(
2015
),
pp. 142-157
Persistent link: https://www.econbiz.de/10011545164
Saved in:
2
Optimal
investment
in multidimensional Markov-modulated affine models
Neykova, Daniela
;
Escobar, Marcos
;
Zagst, Rudi
- In:
Annals of finance
11
(
2015
)
3/4
,
pp. 503-530
Persistent link: https://www.econbiz.de/10011459789
Saved in:
3
Portfolio optimization under Solvency II
Escobar, Marcos
;
Kriebel, Paul
;
Wahl, Markus
;
Zagst, Rudi
- In:
Decision making and risk/return optimization in …
,
(pp. 193-227)
.
2019
Persistent link: https://www.econbiz.de/10012134801
Saved in:
4
Portfolio choice with stochastic interest rates and learning about stock return predictability
Escobar, Marcos
;
Ferrando, Sebastian
;
Rubtsov, Alexey
- In:
International review of economics & finance : IREF
41
(
2016
),
pp. 347-370
Persistent link: https://www.econbiz.de/10011624748
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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:
8
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:
9
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Bergen, V.
;
Escobar, Marcos
;
Rubtsov, A.
;
Zagst, Rudi
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1265-1294
Persistent link: https://www.econbiz.de/10011911537
Saved in:
10
Dynamic derivative strategies with stochastic interest rates and model uncertainty
Escobar, Marcos
;
Ferrando, Sebastian
;
Rubtsov, Alexey
- In:
Journal of economic dynamics & control
86
(
2018
),
pp. 49-71
Persistent link: https://www.econbiz.de/10011973854
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