| Publication | Date of Publication | Type |
|---|
Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
Applied Stochastic Models in Business and Industry | 2024-07-23 | Paper |
Long-term stability of a life insurer's balance sheet
European Actuarial Journal | 2023-07-13 | Paper |
Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift
Stochastic Models | 2023-05-17 | Paper |
Signal-to-noise matrix and model reduction in continuous-time hidden Markov models
Mathematical Methods of Operations Research | 2022-06-24 | Paper |
Robust utility maximizing strategies under model uncertainty and their convergence
Mathematics and Financial Economics | 2022-04-01 | Paper |
Robust utility maximization in a multivariate financial market with stochastic drift
International Journal of Theoretical and Applied Finance | 2021-08-24 | Paper |
Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
Journal of Applied Probability | 2021-03-03 | Paper |
Implied risk aversion: an alternative rating system for retail structured products
Review of Derivatives Research | 2019-10-16 | Paper |
Finite-horizon optimal investment with transaction costs: construction of the optimal strategies
Finance and Stochastics | 2019-09-19 | Paper |
Approximation for portfolio optimization in a financial market with shot-noise jumps
Computational Management Science | 2018-11-07 | Paper |
Insurance markets and unisex tariffs: is the European court of justice improving or destroying welfare?
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Optimal expected utility risk measures
Statistics & Risk Modeling | 2018-01-11 | Paper |
Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs
International Series in Operations Research & Management Science | 2017-11-30 | Paper |
Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
International Journal of Theoretical and Applied Finance | 2017-07-26 | Paper |
Worst-case portfolio optimization with proportional transaction costs
Stochastics | 2016-04-27 | Paper |
Estimating models based on Markov jump processes given fragmented observation series
AStA. Advances in Statistical Analysis | 2016-02-25 | Paper |
Parameter estimation in continuous time Markov switching models: a semi-continuous Markov chain Monte Carlo approach
Bayesian Analysis | 2016-02-12 | Paper |
On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs
SIAM Journal on Control and Optimization | 2015-09-14 | Paper |
Numeraire portfolios and utility-based price systems under proportional transaction costs
Decisions in Economics and Finance | 2015-05-04 | Paper |
FTAP in finite discrete time with transaction costs by utility maximization
Finance and Stochastics | 2015-02-06 | Paper |
Portfolio optimization with non-constant volatility and partial information
Brazilian Journal of Probability and Statistics | 2013-09-16 | Paper |
Optimal investment under dynamic risk constraints and partial information
Quantitative Finance | 2013-03-14 | Paper |
Primal-dual methods for the computation of trading regions under proportional transaction costs
Mathematical Methods of Operations Research | 2013-03-04 | Paper |
Optimizing consumption and investment: the case of partial information
Operations Research Proceedings | 2011-04-07 | Paper |
Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods
Operations Research Proceedings | 2011-04-07 | Paper |
Trading regions under proportional transaction costs
Operations Research Proceedings | 2011-04-07 | Paper |
Optimal portfolios under bounded shortfall risk and partial information
Operations Research Proceedings 2006 | 2011-04-07 | Paper |
Optimal portfolio policies under bounded expected loss and partial information
Mathematical Methods of Operations Research | 2010-09-21 | Paper |
Utility Maximization Under Bounded Expected Loss
Stochastic Models | 2009-09-18 | Paper |
Optimal consumption and investment under partial information
Decisions in Economics and Finance | 2009-07-13 | Paper |
Entropic risk constraints for utility maximization
| 2009-01-28 | Paper |
Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Econometrics Journal | 2008-08-21 | Paper |
Good portfolio strategies under transaction costs: a renewal theoretic approach
| 2008-07-11 | Paper |
Utility maximization with convex constraints and partial information
Acta Applicandae Mathematicae | 2007-07-19 | Paper |
Optimal portfolio policies under fixed and proportional transaction costs
Advances in Applied Probability | 2007-01-31 | Paper |
Portfolio optimization under partial information and convex constraints in a hidden Markov model
| 2007-01-22 | Paper |
Portfolio optimization under transaction costs in the CRR model
Mathematical Methods of Operations Research | 2005-06-16 | Paper |
Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
Finance and Stochastics | 2005-05-20 | Paper |
scientific article; zbMATH DE number 2159171 (Why is no real title available?)
| 2005-04-19 | Paper |
scientific article; zbMATH DE number 2133114 (Why is no real title available?)
| 2005-02-09 | Paper |
