| Publication | Date of Publication | Type |
|---|
| Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations | 2024-07-23 | Paper |
| Long-term stability of a life insurer's balance sheet | 2023-07-13 | Paper |
| Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift | 2023-05-17 | Paper |
| Signal-to-noise matrix and model reduction in continuous-time hidden Markov models | 2022-06-24 | Paper |
| Robust utility maximizing strategies under model uncertainty and their convergence | 2022-04-01 | Paper |
| ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT | 2021-08-24 | Paper |
| Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift | 2021-03-03 | Paper |
| Implied risk aversion: an alternative rating system for retail structured products | 2019-10-16 | Paper |
| Finite-horizon optimal investment with transaction costs: construction of the optimal strategies | 2019-09-19 | Paper |
| Approximation for portfolio optimization in a financial market with shot-noise jumps | 2018-11-07 | Paper |
| Insurance markets and unisex tariffs: is the European Court of Justice improving or destroying welfare? | 2018-07-11 | Paper |
| Optimal expected utility risk measures | 2018-01-11 | Paper |
| Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs | 2017-11-30 | Paper |
| EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT | 2017-07-26 | Paper |
| Worst-case portfolio optimization with proportional transaction costs | 2016-04-27 | Paper |
| Estimating models based on Markov jump processes given fragmented observation series | 2016-02-25 | Paper |
| Parameter estimation in continuous time Markov switching models: a semi-continuous Markov chain Monte Carlo approach | 2016-02-12 | Paper |
| On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs | 2015-09-14 | Paper |
| Numeraire portfolios and utility-based price systems under proportional transaction costs | 2015-05-04 | Paper |
| FTAP in finite discrete time with transaction costs by utility maximization | 2015-02-06 | Paper |
| Portfolio optimization with non-constant volatility and partial information | 2013-09-16 | Paper |
| Optimal investment under dynamic risk constraints and partial information | 2013-03-14 | Paper |
| Primal-dual methods for the computation of trading regions under proportional transaction costs | 2013-03-04 | Paper |
| Optimizing Consumption and Investment: The Case of Partial Information | 2011-04-07 | Paper |
| Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods | 2011-04-07 | Paper |
| Trading Regions Under Proportional Transaction Costs | 2011-04-07 | Paper |
| Optimal Portfolios Under Bounded Shortfall Risk and Partial Information | 2011-04-07 | Paper |
| Optimal portfolio policies under bounded expected loss and partial information | 2010-09-21 | Paper |
| Utility Maximization Under Bounded Expected Loss | 2009-09-18 | Paper |
| Optimal consumption and investment under partial information | 2009-07-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506139 | 2009-01-28 | Paper |
| Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models | 2008-08-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3511650 | 2008-07-11 | Paper |
| Utility maximization with convex constraints and partial information | 2007-07-19 | Paper |
| Optimal portfolio policies under fixed and proportional transaction costs | 2007-01-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3416555 | 2007-01-22 | Paper |
| Portfolio optimization under transaction costs in the CRR model | 2005-06-16 | Paper |
| Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain | 2005-05-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4667110 | 2005-04-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160506 | 2005-02-09 | Paper |
