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~person:"Korn, Ralf"
~subject:"Portfolio selection"
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Portfolio selection
Theorie
66
Theory
66
Portfolio-Management
45
Option pricing theory
13
Optionspreistheorie
13
Stochastischer Prozess
8
Black-Scholes model
7
Black-Scholes-Modell
7
Finanzmathematik
7
Mathematical programming
7
Mathematische Optimierung
7
Stochastic process
7
Financial crisis
5
Finanzkrise
5
Mathematical finance
5
CAPM
4
Hedging
4
Mortality
4
Optimal portfolios
4
Option trading
4
Optionsgeschäft
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Risikomaß
4
Risk
4
Risk measure
4
Sterblichkeit
4
Transaction costs
4
Transaktionskosten
4
Actuarial mathematics
3
Analysis of variance
3
Credit risk
3
Dividend
3
Dividende
3
Dynamic programming
3
Dynamische Optimierung
3
Forecasting model
3
Kreditrisiko
3
Martingal
3
Martingale
3
Prognoseverfahren
3
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10
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Article
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Graue Literatur
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English
42
German
3
Author
All
Korn, Ralf
Fabozzi, Frank J.
124
Maurer, Raimond
72
Platen, Eckhard
54
Gollier, Christian
48
Uppal, Raman
43
Mitchell, Olivia S.
42
Guidolin, Massimo
41
Ang, Andrew
40
Li, Duan
38
Lo, Andrew W.
38
Markowitz, Harry
38
Campbell, John Y.
37
Satchell, Stephen
36
Kraft, Holger
35
Post, Thierry
35
Prigent, Jean-Luc
33
Escobar, Marcos
32
Schenk-Hoppé, Klaus Reiner
32
Viceira, Luis M.
32
Vanduffel, Steven
31
Wong, Wing Keung
30
Zagst, Rudi
30
Bodie, Zvi
29
Hens, Thorsten
29
Levy, Haim
29
Lucas, André
29
Wong, Hoi Ying
28
Başak, Suleyman
27
Kane, Alex
27
Lioui, Abraham
27
Jarrow, Robert A.
26
McAleer, Michael
26
Račev, Svetlozar T.
26
Sass, Jörn
26
Shleifer, Andrei
26
Van Wincoop, Eric
26
Wang, Ruodu
26
Bacchetta, Philippe
25
Gouriéroux, Christian
25
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Johannes Gutenberg-Universität Mainz
3
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International journal of theoretical and applied finance
6
Mathematical methods of operations research
5
Berichte zur Stochastik und verwandten Gebieten
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
Risks : open access journal
2
Advances in risk management
1
Applied mathematical finance
1
Chapman & Hall/CRC financial mathematics series
1
Computational Management Science : CMS
1
Computational economics
1
Finance and stochastics
1
IMA journal of management mathematics
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance : IJTAF
1
Mathematics and financial economics
1
OR spectrum : quantitative approaches in management
1
OR-Spektrum : quantitative approaches in management
1
Operations research letters
1
Research paper series / Swiss Finance Institute
1
Studienbücher Wirtschaftsmathematik
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ECONIS (ZBW)
45
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Lifetime consumption and investment for worst-case crash scenarios
Desmettre, Sascha
;
Korn, Ralf
;
Seifried, Frank Thomas
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011403176
Saved in:
2
Optimal portfolios under the threat of a crash
Korn, Ralf
;
Wilmott, Paul
- In:
International journal of theoretical and applied finance
5
(
2002
)
2
,
pp. 171-187
Persistent link: https://www.econbiz.de/10001662970
Saved in:
3
Worst-case scenario portfolio optimization : a new stochastic control approach
Korn, Ralf
;
Menkens, Olaf
- In:
Mathematical methods of operations research
62
(
2005
)
1
,
pp. 123-140
Persistent link: https://www.econbiz.de/10003114493
Saved in:
4
Optimal portfolios : new variations of an old theme
Korn, Ralf
- In:
Computational Management Science : CMS
5
(
2008
)
4
,
pp. 289-304
Persistent link: https://www.econbiz.de/10003758290
Saved in:
5
A worst-case approach for interest rate stresses and stock crashes
Beißer, Marcel
;
Geisinger, Leander
;
Korn, Ralf
- In:
IMA journal of management mathematics
33
(
2022
)
3
,
pp. 491-510
Persistent link: https://www.econbiz.de/10013253394
Saved in:
6
Portfolio optimization with strictly positive transaction costs and impulse control
Korn, Ralf
-
1994
Persistent link: https://www.econbiz.de/10000903142
Saved in:
7
Value preserving portfolio strategies and the minimal martingale measure
Korn, Ralf
-
1996
Persistent link: https://www.econbiz.de/10000954695
Saved in:
8
Optimal cash management for equity index tracking in the presence of fixed and proportional transaction costs
Buckley, I. R. C.
-
1997
Persistent link: https://www.econbiz.de/10000960546
Saved in:
9
Optimal portfolios with bounded value-at-risk
Klüppelberg, Claudia
;
Korn, Ralf
-
1998
Persistent link: https://www.econbiz.de/10000682685
Saved in:
10
Some applications of L 2-hedging with a non-negative wealth process
Korn, Ralf
- In:
Applied mathematical finance
4
(
1997
)
1
,
pp. 65-79
Persistent link: https://www.econbiz.de/10001226739
Saved in:
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