Optimal Portfolios and Pricing of Financial Derivatives Under ...ideas.repec.org › spr › isochp
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It can be used for the construction of a consistent price system for the underlying financial market. Suggested Citation. Jörn Sass & Manfred Schäl, " ...
Optimal consumption and investment under partial information
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Author Info. Wolfgang Putschögl. (.at). Jörn Sass. (.at). Registered author(s): ...
Citations of Consumption and Portfolio Policies with Incomplete...
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Wolfgang Putschögl & Jörn Sass, "Optimal consumption ... Feyzullah Egriboyun & H. Soner, "Optimal (1), pages , May. Luca Benzoni ...
Jörn Sass | Papers With Codepaperswithcode.com › author › jorn-sass
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no code implementations • 30 Sep • Jörn Sass, Dorothee Westphal. This leads to local optimization problems, and the resulting optimal strategy needs to ...
Operations Research Proceedings 2006: Selected Papers of the Annual...
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575 Optimal Portfolios Under Bounded Shortfall Risk and Partial Information Ralf Wunderlich, Jörn Sass, Abdelali Gabih OR for ...
Statistics & Risk Modeling Volume 35 Issue De Gruyterwww.degruyter.com › journal › key › strm › html
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Sebastian Geissel, Jörn Sass, Frank Thomas Seifried. Page range: More Cite this. Download PDF. Abstract. This paper introduces optimal expected ...
Finite-Horizon Optimal Investment with Transaction Costs:...
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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
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 ◽.
Optimal Expected Utility Risk Measures by Sebastian Geissel, Jörn...
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Jörn Sass. University of Kaiserslautern - Department of Mathematics ( email ). D Kaiserslautern Germany ...
Bericht des Mathematischen Seminars Kiel
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Albrecht Irle, Jörn Sass: Optimal Portfolio Policies under Fixed and Proportional Transaction Costs. We consider the portfolio optimization problem of maximizing ...
Abdelali Gabih - DBLPdblp.org › Persons
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· Ralf Wunderlich, Jörn Sass, Abdelali Gabih: Optimal Portfolios Under Bounded Shortfall Risk and Partial Information. OR 2006: ;
Optimal consumption and investment under partial information |...
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We consider a stock market model where prices satisfy a stochastic differential equation with a stochastic drift process. The investor’s objective is to...
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Finance and Stochastics | springerprofessional.dewww.springerprofessional.de › finance-and-stochasti...
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Finite-horizon optimal investment with transaction costs: construction of the optimal strategies. Christoph Belak, Jörn Sass | Issue
Optimal Expected Utility Risk Measures and Implied Risk Aversion
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Frank Seifried (University of Trier); Sebastian Geissel (HSBC Germany); Jörn Sass (TU Kaiserslautern); Holger Fink (Nuertingen-Geislingen University of ...
Optimal Portfolios Under Bounded Shortfall Risk and Partial...
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This paper considers the optimal selection of portfolios for utility maximizing investors under a shortfall risk constraint for a financial market
Optimal portfolio policies under fixed and proportional transaction...
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Optimal portfolio policies under fixed and proportional transaction costs - Volume 38 Issue 4 - Albrecht Irle, Jörn Sass
Publications – Christoph Belak
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On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs (with Olaf Menkens and Jörn Sass), ...
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