Sascha Desmettre

Publication Activity (10 Years)

Years Active: 2010-2023
Publications (10 Years): 5

Top Topics

Supervised Machine Learning

Portfolio Selection

Manually Annotated

Top Venues

SIAM J. Financial Math.

Oper. Res. Lett.

Publications

Florian Aichinger, Sascha Desmettre
Utility Maximization in Multivariate Volterra Models. SIAM J. Financial Math. 14 (1) (2023)
Alexander Brunhuemer, Lukas Larcher, Philipp Seidl, Sascha Desmettre, Johannes Kofler, Gerhard Larcher
Supervised machine learning classification for short straddles on the S&P500. CoRR (2022)
Nicole Bäuerle, Sascha Desmettre
Portfolio Optimization in Fractional and Rough Heston Models. SIAM J. Financial Math. 11 (1) (2020)
Sascha Desmettre, Sarah Grün, Ralf Korn
Portfolio optimization with early announced discrete dividends. Oper. Res. Lett. 46 (5) (2018)
Javier Alejandro Varela, Norbert Wehn, Sascha Desmettre, Ralf Korn
Real-Time Financial Risk Measurement of Dynamic Complex Portfolios with Python and PyOpenCL. PyHPC@SC (2017)
Javier Alejandro Varela, Claus Kestel, Christian de Schryver, Norbert Wehn, Sascha Desmettre, Ralf Korn
Optimization strategies for portable code for Monte Carlo-based value-at-risk systems. WHPCF@SC (2015)
Sascha Desmettre, Ralf Korn, Peter Ruckdeschel, Frank Thomas Seifried
Robust worst-case optimal investment. OR Spectr. 37 (3) (2015)
Sascha Desmettre, Alexander Szimayer
Work effort, consumption, and portfolio selection: when the occupational choice matters. Math. Methods Oper. Res. 74 (1) (2011)
Sascha Desmettre, John Gould, Alexander Szimayer
Own-company stockholding and work effort preferences of an unconstrained executive. Math. Methods Oper. Res. 72 (3) (2010)