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Korn, Ralf’ AUTHOR PAGE
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E-Mail: Korn@mathematik.uni-kl.de
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webpage: http://www.mathematik.uni-kl.de/~korn/welcome2.htm
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Affiliation: Technical University of Kaiserslautern
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A New Variance Reduction Technique for Estimating the Value-at-Risk 2014
Korn, Ralf
Pupashenko, Mykhailo
 
In this paper we present a new variance reduction technique for estimating the Value-at-Risk of a portfolio of various securities via Monte Carlo simu...
GARCH-Extended Models: Theoretical Properties and Applications 2013
Korn, Ralf
Erlwein-Sayer, C_hristina
Nana, Giles-A. Nzouankeu
 
This paper is concerned with some properties of the generalized GARCH models, obtained by extending GARCH models with exogenous variables, the so-call...
On Worst-Case Investment With Applications in Finance and Insurance Mathematics 2005
Korn, Ralf
Menkens, Olaf
 
We review recent results on the new concept of worst-case portfolio optimization, i.e. we consider the determination of portfolio processes which yiel...
Worst-Case Scenario Portfolio Optimization: A New Stochastic Control Approach 2005
Korn, Ralf
Menkens, Olaf
 
We consider the determination of portfolio processes yielding the highest worst-case bound for the expected utility from final wealth if the stock pri...
Worst Case Portfolio Optimization and HJB-Systems 2006
Korn, Ralf
Steffensen, Mogens
 
We formulate a portfolio optimization problem as a game where the investor chooses aportfolio and his opponent, the market, chooses some market crashe...
Optimal Portfolios Under the Threat of a Crash 2002
Korn, Ralf
Wilmott, Paul
 
We consider the determination of optimal portfolios under the threat of a crash. Our main assumption is that upper bounds for both the crash size and ...
Crash & Earn 2001
Korn, Ralf
 
An unpredictable, unreliable and unusual nature makes stock market crashes scary. But, argues quantitative analyst Prof. Ralf Korn, there's plenty...
Optimal Portfolios with Bounded Downside Risks 2000
Emmer, Suzanne
Kluppelberg, Claudia
Korn, Ralf
 
We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the contraint of an upper...
Optimale Portfolios mit beschränktem Value-at-Risk 1999
Kluppelberg, Claudia
Korn, Ralf
 
...
Optimal Portfolios with Bounded Capital at Risk 2000
Emmer, Suzanne
Kluppelberg, Claudia
Korn, Ralf
 
We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an uppe...
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