Jörn Sass

According to our database, Jörn Sass authored at least 14 papers between 2004 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2022

Signal-to-noise matrix and model reduction in continuous-time hidden Markov models.

Elisabeth Leoff, Leonie Ruderer, Jörn Sass

Math. Methods Oper. Res., 2022

2021

Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift.

Jörn Sass, Dorothee Westphal, Ralf Wunderlich

J. Appl. Probab., 2021

2018

Approximation for portfolio optimization in a financial market with shot-noise jumps.

Oleksandra Putyatina, Jörn Sass

Comput. Manag. Sci., 2018

2015

On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs.

Christoph Belak, Olaf Menkens, Jörn Sass

SIAM J. Control. Optim., 2015

2014

FTAP in finite discrete time with transaction costs by utility maximization.

Jörn Sass, Martin Smaga

Finance Stochastics, 2014

2013

Primal-dual methods for the computation of trading regions under proportional transaction costs.

Roland Herzog, Karl Kunisch, Jörn Sass

Math. Methods Oper. Res., 2013

2010

Optimal portfolio policies under bounded expected loss and partial information.

Jörn Sass, Ralf Wunderlich

Math. Methods Oper. Res., 2010

2007

Optimizing Consumption and Investment: The Case of Partial Information.

Markus Hahn, Wolfgang Putschögl, Jörn Sass

Proceedings of the Operations Research, 2007

2006

Optimal Portfolios Under Bounded Shortfall Risk and Partial Information.

Ralf Wunderlich, Jörn Sass, Abdelali Gabih

Proceedings of the Operations Research, 2006

Trading Regions Under Proportional Transaction Costs.

Karl Kunisch, Jörn Sass

Proceedings of the Operations Research, 2006

Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods.

Markus Hahn, Wolfgang Putschögl, Jörn Sass

Proceedings of the Operations Research, 2006

2005

Portfolio optimization under transaction costs in the CRR model.

Jörn Sass

Math. Methods Oper. Res., 2005

Portfolio Optimization Under Partial Information and Convex Constraints in a Hidden Markov Model.

Jörn Sass

Proceedings of the Operations Research Proceedings 2005, 2005

2004

Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain.

Jörn Sass, Ulrich G. Haussmann

Finance Stochastics, 2004