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ORCIDJörn Sass
Person information
- affiliation: University of Kaiserslautern, Germany
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2020 – today
- 2022
[j9]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): 327-359 (2022)- 2021
- [j8]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): 197-216 (2021)
2010 – 2019
- 2018
- [j7]Oleksandra Putyatina, Jörn Sass:
Approximation for portfolio optimization in a financial market with shot-noise jumps. Comput. Manag. Sci. 15(2): 161-186 (2018) - 2015
- [j6]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): 2878-2897 (2015) - 2014
- [j5]Jörn Sass, Martin Smaga:
FTAP in finite discrete time with transaction costs by utility maximization. Finance Stochastics 18(4): 805-823 (2014) - 2013
- [j4]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): 101-130 (2013) - 2010
- [j3]Jörn Sass, Ralf Wunderlich:
Optimal portfolio policies under bounded expected loss and partial information. Math. Methods Oper. Res. 72(1): 25-61 (2010)
2000 – 2009
- 2007
- [c5]Markus Hahn, Wolfgang Putschögl, Jörn Sass:
Optimizing Consumption and Investment: The Case of Partial Information. OR 2007: 57-62 - 2006
- [c4]Markus Hahn, Wolfgang Putschögl, Jörn Sass:
Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods. OR 2006: 227-232 - [c3]Karl Kunisch, Jörn Sass:
Trading Regions Under Proportional Transaction Costs. OR 2006: 563-568 - [c2]Ralf Wunderlich, Jörn Sass, Abdelali Gabih:
Optimal Portfolios Under Bounded Shortfall Risk and Partial Information. OR 2006: 581-586 - 2005
- [j2]Jörn Sass:
Portfolio optimization under transaction costs in the CRR model. Math. Methods Oper. Res. 61(2): 239-259 (2005) - [c1]Jörn Sass:
Portfolio Optimization Under Partial Information and Convex Constraints in a Hidden Markov Model. OR 2005: 223-228 - 2004
- [j1]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): 553-577 (2004)
Coauthor Index
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