Schmid Wolfgang

Wolfgang Schmid

Information about the author Wolfgang Schmid will soon be added to the site.
Found 4 papers in total
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
2015
In this paper we derive the exact solution of the multi‐period portfolio choice...
A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
2015
In the present paper, we derive a closed‐form solution of the...
On the equivalence of quadratic optimization problems commonly used in portfolio theory
On the equivalence of quadratic optimization problems commonly used in portfolio theory
2013
In the paper, we consider three quadratic optimization problems which are frequently...
Outliers in a multivariate autoregressive moving-average process
Outliers in a multivariate autoregressive moving-average process
1990
The paper deals with the problem of outliers in a multivariate ARMA-process. The...
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