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Publications

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Publications

Journal paper

  • J. Sass, D. Westphal, R. Wunderlich (2017).
    Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift.
    International Journal of Theoretical and Applied Finance. 20, (4), (41 pages)
    [doi] [BibTex]

  • V. Krishnamurthy, E. Leoff, J. Sass (2017).
    Filterbased stochastic volatility in continuous-time hidden Markov models.
    Econometrics and Statistics. (29 pages, to appear)
    [www] [BibTex]

  • C. Belak, O. Menkens, J. Sass (2015).
    Worst-case portfolio optimization with proportional transaction costs.
    Stochastics. 87, 623-663.
    [BibTex]

  • C. Belak, O. Menkens, J. Sass (2015).
    On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs.
    SIAM Journal on Control and Optimization. 53, 2878-2897.
    [BibTex]

  • J. Sass, M. Schäl (2014).
    Numeraire portfolios and utility based price systems under proportional transaction costs.
    Decisions in Economics and Finance. 37, 195-234.
    [BibTex]

  • J. Sass, F.T. Seifried (2014).
    Insurance markets and unisex tariffs: Is the European Court of Justice improving or destroying welfare?.
    Scandinavian Actuarial Journal. 2014, 228-254.
    [doi] [BibTex]

  • J. Sass, M. Smaga (2014).
    FTAP in finite discrete time with transaction costs.
    Finance and Stochastics. 18, 228-254.
    [BibTex]

  • A. Gabih, H. Kondakji, J. Sass, R. Wunderlich (2014).
    Expert opinions and logarithmic utility maximization in a market wuth Gaussian drift.
    Communications on Stochastic Analysis. 8, 27-47.
    [BibTex]

  • R. Herzog, K. Kunisch, J. Sass (2013).
    Primal-dual methods for the computation of trading regions under proportional transaction costs.
    Mathematical Methods of Operations Research. 77, 101-130.
    [BibTex]

  • W. Putschögl, J. Sass (2011).
    Optimal investment under dynamic risk constraints and partial information.
    Quantitative Finance. 11, 1547-1564.
    [BibTex]

  • J. Sass, R. Wunderlich (2010).
    Optimal portfolio policies under bounded expected loss and partial information.
    Mathematical Methods of Operations Research. 75, 25-61.
    [BibTex]

  • M. Hahn, S. Frühwirth-Schnatter, J. Sass (2010).
    Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models.
    Journal of Financial Econometrics. 8, 88-121.
    [BibTex]

  • M. Hahn, J. Sass (2009).
    Parameter estimation in continuous time Markov switching models - A semi-continuous Markov chain Monte Carlo approach.
    Bayesian Analysis. 4, 63-84.
    [BibTex]

  • M. Hahn, S. Fr"uhwirth-Schnatter, J. Sass (2009).
    Estimating continuous-time Markov processes based on merged time series.
    AStA Advances in Statistical Analysis. 93, 403-425.
    [BibTex]

  • A. Gabih, J. Sass, R. Wunderlich (2009).
    Utility maximization under bounded expected loss.
    Stochastic Models. 25, 375-407.
    [BibTex]

  • R. J. Elliott, V. Krishnamurthy, J. Sass (2008).
    Moment based regression algorithm for drift and volatility estimation in continuous time Markov switching models.
    Econometrics Journal. 11, 244-270.
    [BibTex]

  • W. Putschögl, J. Sass (2008).
    Optimal consumption and investment under partial information.
    Decisions in Economics and Finance. 31, 131-170.
    [BibTex]

  • M. Hahn, W. Putschögl, J. Sass (2007).
    Portfolio optimization with non-constant volatility and partial information.
    Brazilian Journal of Probability and Statistics. 21, 27-61.
    [BibTex]

  • J. Sass (2007).
    Utility maximization with convex constraints and partial information.
    Acta Applicandae Mathematicae. 97, 221-238.
    [BibTex]

  • A. Irle, J. Sass (2006).
    Optimal portfolio policies under fixed and proportional transaction costs.
    Advances in Applied Probability. 38, 916-942.
    [BibTex]

  • J. Sass (2005).
    Portfolio optimization under transaction costs in the CRR model.
    Mathematical Methods of Operations Research. 61, 239-259.
    [BibTex]

  • J. Sass, U.G. Haussmann (2004).
    Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain.
    Finance and Stochastics. 8, 553-577.
    [BibTex]

Bookchapter

  • J. Sass, M. Schäl (2017).
    Optimal portfolios and pricing of financial derivatives under proportional transaction costs.
    Markov Decision Processes in Practice. R.J. Boucherie, N.M. van Dijk (eds.) 523-546.
    [BibTex]
  • B. Rudloff, J. Sass, R. Wunderlich (2008).
    Entropic risk constraints for utility maximization.
    Festschrift in Celebration of Wilfried Prof. Dr. Grecksch 60th Birthday. C. Tammer, F. Heyde (eds.) 149-180.
    [BibTex]
  • A. Irle, J. Sass (2006).
    Good portfolio strategies under transaction costs: A renewal theoretic approach.
    Stochastic Finance. M. do Rosario Grossinho, A.N. Shiryaev, M.L. Esquivel, P.E. Oliveira (eds.) 321-341.
    [BibTex]

Conference proceedings

  • R. Wunderlich, J. Sass, A. Gabih (2007).
    Optimal portfolios under bounded shortfall risk and partial information.
    K.-H. Waldmann, U.M. Stocker (eds.) Operations Research Proceedings 2006. Springer, Berlin: 581-586.
    [BibTex]

  • K. Kunisch, J. Sass (2007).
    Trading regions under proportional transaction costs.
    K.-H. Waldmann, U.M. Stocker (eds.) Operations Research Proceedings 2006. Springer, Berlin: 563-568.
    [BibTex]

  • M. Hahn, W. Putsch"ogl, J. Sass (2007).
    Parameter estimation for stock models with non-constant volatility using Markov chain Monte Carlo methods.
    K.-H. Waldmann, U.M. Stocker (eds.) Operations Research Proceedings 2006. Springer, Berlin: 227-232.
    [BibTex]

  • J. Sass (2006).
    Portfolio optimization under partial information and convex constraints in a hidden Markov model.
    K.-H. Waldmann, U.M. Stocker (eds.) Operations Research Proceedings 2005. Springer, Berlin: 227--232.
    [BibTex]

  • A. Gabih, J. Sass, R. Wunderlich (2005).
    Utility maximization with bounded shortfall risk in an HMM for the stock returns.
    N. Kolev, P. Morettin (eds.) Proceedings of the Second Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, August 28 - September 3, 2005. 116-121.
    [BibTex]

  • U.G. Haussmann, J. Sass (2004).
    Optimal terminal wealth under partial information for HMM stock returns.
    G. Yin and Q. Zhang (eds.) Mathematics of Finance: Proceedings of an AMS-IMS-SIAM Summer Conference, June 22-26, 2003, Utah, AMS Contemporary Mathematics 351. 171-185.
    [BibTex]

  • J. Sass, U.G. Haussmann (2004).
    Portfolio optimization under partial information: Stochastic volatility in a hidden Markov model.
    D. Ahr, R. Fahrion, M. Oswald, G. Reinelt (eds.) Operations Research Proceedings 2003. Springer, Berlin: 387-394.
    [BibTex]

Preprint

  • C. Belak, J. Sass (2015).
    Finite-horizon optimal investment with transaction costs: Construction of the optimal strategies.
    (32 pages, available at SSRN )
    [www] [BibTex]
  • S. Geissel, J. Sass, F.T. Seifried (2015).
    Optimal expected utility risk measures.
    (17 pages, available at SSRN)
    [www] [BibTex]
  • H. Fink, S. Geissel, J. Sass, F.T. Seifried (2015).
    Implied risk aversion: An alternative rating system for retail structured products.
    (42 pages, available at SSRN)
    [www] [BibTex]