Jörn Sass

14 papers Journal 9Unranked 5
YearRankTypeTitle / Venue / Authors
2022 J jnl
Signal-to-noise matrix and model reduction in continuous-time hidden Markov models.
Math. Methods Oper. Res.
Elisabeth Leoff, Leonie Ruderer, Jörn Sass
2021 J jnl
Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift.
J. Appl. Probab.
Jörn Sass, Dorothee Westphal, Ralf Wunderlich
2018 J jnl
Approximation for portfolio optimization in a financial market with shot-noise jumps.
Comput. Manag. Sci.
Oleksandra Putyatina, Jörn Sass
2015 J jnl
On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs.
SIAM J. Control. Optim.
Christoph Belak, Olaf Menkens, Jörn Sass
2014 J jnl
FTAP in finite discrete time with transaction costs by utility maximization.
Finance Stochastics
Jörn Sass, Martin Smaga
2013 J jnl
Primal-dual methods for the computation of trading regions under proportional transaction costs.
Math. Methods Oper. Res.
Roland Herzog, Karl Kunisch, Jörn Sass
2010 J jnl
Optimal portfolio policies under bounded expected loss and partial information.
Math. Methods Oper. Res.
Jörn Sass, Ralf Wunderlich
2007 — conf
Optimizing Consumption and Investment: The Case of Partial Information.
OR
Markus Hahn, Wolfgang Putschögl, Jörn Sass
2006 — conf
Optimal Portfolios Under Bounded Shortfall Risk and Partial Information.
OR
Ralf Wunderlich, Jörn Sass, Abdelali Gabih
2006 — conf
Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods.
OR
Markus Hahn, Wolfgang Putschögl, Jörn Sass
2006 — conf
Trading Regions Under Proportional Transaction Costs.
OR
Karl Kunisch, Jörn Sass
2005 — conf
Portfolio Optimization Under Partial Information and Convex Constraints in a Hidden Markov Model.
OR
Jörn Sass
2005 J jnl
Portfolio optimization under transaction costs in the CRR model.
Math. Methods Oper. Res.
Jörn Sass
2004 J jnl
Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain.
Finance Stochastics
Jörn Sass, Ulrich G. Haussmann