Jörn Sass - Dokumente zum Namen - alle Infos bei Yasni.de

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[ ] Diffusion Approximations for Expert Opinions in a...

arxiv.org

Authors:Jörn Sass, Dorothee Westphal, Ralf Wunderlich. (Submitted on 2 Jul 2018). Abstract: This paper investigates a financial market where returns depend ...

Finite-Horizon Optimal Investment with Transaction Costs:...

papers.ssrn.com

We revisit the problem of maximizing expected utility of terminal wealth in a Black-Scholes market with proportional transaction costs. While it is known that t

Abstracts | 8th World Congress

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Discrete and continuous-time expert opinions for portfolio optimization with partial information. Jörn Sass (University of Kaiserslautern, Germany).

[ ] Robust Utility Maximization in a Multivariate Financial...

arxiv.org

· Robust Utility Maximization in a Multivariate Financial Market with Stochastic Drift. Authors:Jörn Sass, Dorothee Westphal · Download PDF.

Optimal Expected Utility Risk Measures by Sebastian Geissel, Jörn...

papers.ssrn.com

Jörn Sass. University of Kaiserslautern - Department of Mathematics ( email ). D Kaiserslautern Germany ...

Optimal expected utility risk measures | ScienceGate

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Jörn Sass ◽. Frank Thomas Seifried. Keyword(s):. At Risk ◽. Relative Risk ◽. Risk Aversion ◽. Utility Function ◽. Expected Utility ◽. Value At Risk ◽.