Jörn Sass

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
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
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
Optimizing Consumption and Investment: The Case of 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

Research outcomes over time

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