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A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates

TLDR

On three-phase boundary motion and the singular limit of a vector-valued Ginzburg-Landau equation

- R. Korn
- 2004

We present a formal asymptotic analysis which suggests a model for threephase boundary motion as a singular limit of a vector-valued Ginzburg-Landau equation. We prove short-time existence and… Expand

Optimal Portfolios with Bounded Capital at Risk

- S. Emmer, C. Klüppelberg, R. Korn
- Economics
- 1 October 2001

We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the Capital-at-Risk. In a… Expand

Portfolio optimisation with strictly positive transaction costs and impulse control

- R. Korn
- Economics, Computer Science
- Finance Stochastics
- 12 February 1998

TLDR

On the Stability of Continuous-Time Portfolio Problems with Stochastic Opportunity Set

In this paper we present some counterexamples to show that an uncritical application of the usual methods of continuous-time portfolio optimization can be misleading in the case of a stochastic… Expand

Some applications of impulse control in mathematical finance

- R. Korn
- Computer Science, Mathematics
- Math. Methods Oper. Res.
- 14 December 1999

TLDR

Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics

The mean-variance approach in a one-period model The continuous-time market model Option pricing Pricing of exotic options and numerical algorithms Optimal portfolios Bibliography Index.

Optimal portfolios under the threat of a crash

- R. Korn, P. Wilmott
- Economics
- 1 March 2002

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 the number of crashes occurring before the time… Expand

Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time

- R. Korn
- Economics
- 29 November 1997

The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes… Expand

An analysis of pricing methods for baskets options

- M. Krekel, J. D. Kock, R. Korn, Tin-Kwai Man
- Economics
- 1 May 2004

The forward-oriented notation has two advantages: Firstly, in opposite to short rates and dividend yields, forward prices and discount factors are market-quotes. Secondly, from a computational point… Expand

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