Mean Variance Optimization of Non-Linear Systems and Worst-case Analysis



CFS Working Paper Series:

No.Author(s)Title

2006/08 Elena Carletti

Philipp Hartmann

Giancarlo Spagnolo

2006/07 Alexander Muermann

Stephen H. Shore


Bank Mergers, Competition and Liquidity

Strategic Trading and Manipulation with Spot
Market Power

2006/06

Jan Pieter Krahnen

Frank A. Schmid

Erik Theissen

Investment Performance and Market Share: A
Study of the German Mutual Fund Industry

2006/05

Jan Pieter Krahnen

Die Stabilitat von Finanzmarkten: Wie kann die
Wirtschaftspolitik Vertrauen schaffen?

2006/04 Jan Pieter Krahnen           Risk Transfer with CDOs and Systemic Risk in

Christian Wilde              Banking

2006/03

Panos Parpas

Berc Rustem
Volker Wieland
Stan Zakovic

Mean Variance Optimization of Non-Linear
Systems and Worst-case Analysis

2006/02

Christoffer Carroll

Miles S. Kimball

Precautionary Saving and Precautionary Wealth

2006/01 M. Hashem Pesaran          Market Efficiency Today

2005/33 Fulvio Corsi

Uta Kretschmer

Stefan Mittnik

Christian Pigorsch


The Volatility of Realized Volatility


2005/32 Sumit Agarwal               Do Consumers Choose the Right Credit Contracts?

Souphala Chomsisengphet

Chunlin Liu
Nicholas S. Souleles

Copies of working papers can be downloaded at http://www.ifk-cfs.de



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