Jörn Sass

Publication Activity (10 Years)

Years Active: 2004-2022
Publications (10 Years): 3

Top Topics

Diffusion Approximations

Expert Opinions

Top Venues

Math. Methods Oper. Res.

Finance Stochastics

J. Appl. Probab.

SIAM J. Control. Optim.

Publications

Elisabeth Leoff, Leonie Ruderer, Jörn Sass
Signal-to-noise matrix and model reduction in continuous-time hidden Markov models. Math. Methods Oper. Res. 95 (2) (2022)
Jörn Sass, Dorothee Westphal, Ralf Wunderlich
Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift. J. Appl. Probab. 58 (1) (2021)
Oleksandra Putyatina, Jörn Sass
Approximation for portfolio optimization in a financial market with shot-noise jumps. Comput. Manag. Sci. 15 (2) (2018)
Christoph Belak, Olaf Menkens, Jörn Sass
On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs. SIAM J. Control. Optim. 53 (5) (2015)
Jörn Sass, Martin Smaga
FTAP in finite discrete time with transaction costs by utility maximization. Finance Stochastics 18 (4) (2014)
Roland Herzog, Karl Kunisch, Jörn Sass
Primal-dual methods for the computation of trading regions under proportional transaction costs. Math. Methods Oper. Res. 77 (1) (2013)
Jörn Sass, Ralf Wunderlich
Optimal portfolio policies under bounded expected loss and partial information. Math. Methods Oper. Res. 72 (1) (2010)
Markus Hahn, Wolfgang Putschögl, Jörn Sass
Optimizing Consumption and Investment: The Case of Partial Information. OR (2007)
Markus Hahn, Wolfgang Putschögl, Jörn Sass
Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods. OR (2006)
Ralf Wunderlich, Jörn Sass, Abdelali Gabih
Optimal Portfolios Under Bounded Shortfall Risk and Partial Information. OR (2006)
Karl Kunisch, Jörn Sass
Trading Regions Under Proportional Transaction Costs. OR (2006)
Jörn Sass
Portfolio optimization under transaction costs in the CRR model. Math. Methods Oper. Res. 61 (2) (2005)
Jörn Sass
Portfolio Optimization Under Partial Information and Convex Constraints in a Hidden Markov Model. OR (2005)
Jörn Sass, Ulrich G. Haussmann
Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. Finance Stochastics 8 (4) (2004)