Jörn Sass

University of Kaiserslautern - Department of Mathematics

D-67653 Kaiserslautern

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

769

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Implied Risk Aversion: An Alternative Rating System for Retail Structured Products

Number of pages: 28 Posted: 28 Aug 2015 Last Revised: 14 Dec 2018
Nuertingen-Geislingen University of Applied Sciences, University of Applied Sciences Brandenburg, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 308 (118,545)
Citation 2

Abstract:

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structured products, risk measures, optimal expected utility, implied risk aversion

2.

Optimal Expected Utility Risk Measures

Number of pages: 17 Posted: 28 Aug 2015 Last Revised: 30 Nov 2017
University of Applied Sciences Brandenburg, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 235 (156,271)
Citation 1

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risk measure, certainty equivalent, utility maximization

3.

Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations

Number of pages: 31 Posted: 02 Dec 2016 Last Revised: 24 Nov 2017
Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), Fraunhofer Gesellschaft - Department of Finance, University of Oldenburg - School of Mathematics and Science, University of Kaiserslautern - Department of Mathematics and Advanced Logic Analytics
Downloads 148 (235,829)
Citation 2

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Multivariate HMM, Filtering, Regime switching model, Portfolio optimization

4.

Long-Term Stability of a Life Insurer's Balance Sheet

Number of pages: 34 Posted: 27 Oct 2020 Last Revised: 23 Mar 2021
Technische Universität Kaiserslautern, Das Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM, Fraunhofer ITWM and University of Kaiserslautern - Department of Mathematics
Downloads 73 (380,762)

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balance sheet, life insurance, model points, asset liability management, guaranteed interest rate

5.

Combining multi-asset and intrinsic risk measures

Number of pages: 37 Posted: 06 May 2021
Fraunhofer ITWM - Department Financial Mathematics, University of Kaiserslautern - Department of Mathematics and Fraunhofer ITWM
Downloads 5 (731,548)

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Intrinsic risk measure, multi-asset risk measure, multiple eligible assets, diversification, Value-at-Risk, Expected Shortfall, Solvency II

6.

Finite-Horizon Optimal Investment with Transaction Costs: Construction of the Optimal Strategies

Posted: 28 Jul 2015 Last Revised: 04 Sep 2019
Christoph Belak and Jörn Sass
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften and University of Kaiserslautern - Department of Mathematics

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Utility Maximization, Transaction Costs, Reflected Diffusions, Superharmonic Functions

7.

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

SIAM Journal on Control and Optimization, Vol. 53, No. 5, pp. 2878-2897, 2015.
Posted: 23 Aug 2013 Last Revised: 03 May 2016
Christoph Belak, Olaf Menkens and Jörn Sass
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Dublin City University - School of Mathematical Sciences and University of Kaiserslautern - Department of Mathematics

Abstract:

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unbounded viscosity solutions, comparison principle, optimal terminal wealth, transaction costs

8.

Worst-Case Portfolio Optimization with Proportional Transaction Costs

Stochastics An International Journal of Probability and Stochastic Processes, Volume 87, Issue 4, pp. 623-663, 2015
Posted: 29 Jan 2013 Last Revised: 03 May 2016
Christoph Belak, Olaf Menkens and Jörn Sass
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Dublin City University - School of Mathematical Sciences and University of Kaiserslautern - Department of Mathematics

Abstract:

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Portfolio optimization, worst-case scenarios, crash modeling, transaction costs, dynamic programming, viscosity solutions