Former Member

Dr. Jörn Sass

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Peer Reviewed Journal Publication
  • Hahn, M.; Frühwirth-Schnatter, S.; Sass, J. (2009) Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models. Journal of Financial Econometrics, Bd. 8 (1), S. 88-121.
  • Hahn, M.; Frühwirth-Schnatter, S.; Sass, J. (2009) Estimating models based on Markov jump processes given fragmented observation series. AStA Advances in Statistical Analysis, Bd. 93 (4), S. 403-425 . (link)
  • Hahn, M.; Sass, J. (2009) Parameter estimation in continuous-time markov switching models - A semi-continous Markov chain Monte Carlo approach. Bayesian Analysis, Bd. 4 (1), S. 63-84. (link)
  • Putschögl, Wolfgang; Sass, Jörn (2008) Optimal Portfolios with Dynamic Risk Constraints under Partial Information.
  • Elliott, Robert J.; Krishnamurthy, Vikram; Sass, Jörn (2008) Moment based regression algorithm for drift and volatility estimationin continuous time Markov switching models. The Econometrics Journal (11), S. 244-270.
  • Putschögl, Wolfgang; Sass, Jörn (2008) Optimal Consumption and Investment under Partial Information. Decisions in Economics and Finance (31), S. 131-170.
  • Sass, J. (2007) Utility maximization with convex constraints and partial information. Acta Applicandae Mathematicae, Bd. 97, S. 221-238.
  • M. Hahn, W. Putschögl, J. Sass (2007) Portfolio Optimization with Non-Constant Volatility and Partial Information. Brazilian Journal of Probability and Statistics, Bd. 1 (21), S. 27-61.
  • A. Irle, J. Sass (2006) Optimal portfolio policies under fixed and proportional transaction costs. Advances in Applied Probability, Bd. 38, S. 916-942.
  • Sass, J. (2005) Portfolio optimization under transaction costs in the CRR model. Mathematical Methods of Operations Research, Bd. 61, S. 239-259.
  • W. Putschögl, J. Sass Optimal investment under dynamic risk constraints and partial information. submitted.

Conference Contribution: Publication in Proceedings
  • M. Hahn, W. Putschögl, J. Sass (2008) Optimizing Consumption and Investment: The Case of Partial Information., Operations Research Proceedings 2007: Springer.
  • R. Wunderlich, J. Sass, A. Gabih (2007) Optimal portfolios under bounded shortfall risk and partial information. In: K.-H. Waldmann, U.M. Stocker (Hrsg.), Operations Research Proceedings 2006: Springer, Berlin, S. 581-586.
  • M. Hahn, W. Putschögl, J. Sass (2007) Parameter Estimation for Stock Models with Non-Constant Volatility using Markov Chain Monte Carlo Methods. In: K.-H. Waldmann, U.M. Stocker (Hrsg.), Operations Research Proceedings 2006 (Operations Research 2006) In Reihe: Operations Research Proceedings; Berlin: Springer, S. 227-232.
  • J. Sass, R. Wunderlich (2007) Computing optimal portfolio policies with unobservable Markov modulated drift processes and bounded expected loss. In: C. Fernandes, H. Schmidli, N. Kolev (Hrsg.) (Third Brazilian Conference on Statistical Modelling in Insurance and Finance); Sao Paulo: IME, S. 242-247.
  • K. Kunisch, J. Sass (2007) Trading Regions under proportional transaction costs. In: K.-H. Waldmann, U.M. Stocker (Hrsg.), Operations Research Proceedings 2006: Springer, Berlin, S. 563-568.
  • Sass, J. (2006) Portfolio optimization under partial information and convex constraints in a hidden Markov model. In: H.-D. Haasis, H. Kopfer, J. Schönberger (Hrsg.), Operations Research 2005 Proceedings: Springer, Berlin, S. 223-228.
  • Gabih, A.; Sass, J.; Wunderlich, R. (2005) Utility maximization with bounded shortfall risk in an HMM for the stock returns. In: Kolev, N.; Morettin, P. (Hrsg.), Proceedings of the Second Brazilian Confrerence: on Statistical Modelling in Insurance and Finance, Maresias, August 28 -- September 3, 2005: Institute of Mathematics and Statistics, University of Sao Paulo, S. 116-121.
  • Irle, A.; Sass, J. (2005) Good portfolio strategies under transaction costs: A renewal theoretic approach. In: Grossinho, M. do Rosario; Shiryaev, A.N.; Esquivel, M.L.; Oliveira, P.E. (Hrsg.), Stochastic Finance: Springer, New York, S. 321-341.

Contribution in Collection
  • Rudloff, Birgit; Sass, Jörn; Wunderlich, Ralf (2008) Entropic risk constraints for utility maximization. In: C. Tammer, F. Heyde (Hrsg.), Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday; Aachen: Shaker Verlag, S. 149-180.

Research Report
  • Sass, Jörn; Wunderlich, Ralf (2008) Optimal portfolio policies under bounded expected loss and partial information. Bericht-Nr. 2008-01; RICAM: Linz.
  • Hahn, M.; Frühwirth-Schnatter, S.; Sass, J. (2007) Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models. Bericht-Nr. 2007-09;. (link)
  • A. Gabih, J. Sass, R. Wunderlich (2006) Utility Maximization Under Bounded Expected Loss. RICAM:.
  • Irle, A.; Sass, J. (2005) Optimal portfolio policies under fixed and proportional transaction costs. Berichtsreihe des Mathematischen Seminars, 05-30, Universität Kiel:.