Ulrich G. Haussmann

University of British Columbia — Canada

Economics, Econometrics and Finance · Social Sciences

10h-index496citations28works0.02yr avg
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Research Topics

Stochastic processes and financial applications(20), Economic theories and models(11), Financial Markets and Investment Strategies(7), Risk and Portfolio Optimization(6), Capital Investment and Risk Analysis(5)

Publications28 total

A DYNAMIC INVESTMENT MODEL WITH CONTROL ON THE PORTFOLIO’S WORST CASE OUTCOME
World Scientific series in finance·2024
An Extension of Clark-Haussman Formula and Applications
arXiv (Cornell University)·2017Open Access
Equilibrium in a Production Economy
Applied Mathematics & Optimization·2010· 1 cited
Multivariable Utility Functions
SIAM Journal on Optimization·2009· 4 cited
On a Stochastic, Irreversible Investment Problem
SIAM Journal on Control and Optimization·2009· 35 cited
On Robust Utility Maximization
arXiv (Cornell University)·2007Open Access
A Portfolio Decomposition Formula
arXiv (Cornell University)·2007Open Access
A Portfolio Decomposition Formula
arXiv (Cornell University)·2007Open Access
On Robust Utility Maximization
arXiv (Cornell University)·2007· 4 citedOpen Access
Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold
Mathematics of Operations Research·2005· 38 cited
The modified willow tree algorithm
The Journal of Computational Finance·2005Open Access
Portfolio Optimization under Partial Information: Stochastic Volatility in a Hidden Markov Model
Operations research proceedings·2004· 3 cited
Optimal terminal wealth under partial information for HMM stock returns
Contemporary mathematics - American Mathematical Society·2004· 17 cited
A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome
Mathematical Finance·2003· 10 cited
A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome
Mathematical Finance·2003· 3 cited
Optimal portfolio selection and compression in an incomplete market
RePEc: Research Papers in Economics·2002Open Access
Goethes "Bildergalerie" : die Anfänge der Kunstsammlungen zu Weimar
Medical Entomology and Zoology·2002· 2 cited
Equilibrium in a stochastic model with consumption, wages and investment
Journal of Mathematical Economics·2001· 7 cited
Optimal Portfolio Selection with Transaction Costs
IFIP advances in information and communication technology·1999· 10 citedOpen Access
Optimal Control of Inflation: A Central Bank Problem
SIAM Journal on Control and Optimization·1998· 32 cited
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Frequent Co-authors

Maria B. Chiarolla(8), Traian A. Pirvu(5), Wulin Suo(3), Yonggan Zhao(3), William T. Ziemba(3), Jörn Saß(2), Abel Cadenillas(1), P. S. Collings(1), Rolf Bothe(1), Kunstsammlungen zu Weimar(1), Nikolai Dokuchaev(1), Liqing Yan(1)