## Curriculum Vitae

**Personal Details**

- Born in 1969 in Kiel, Germany
- Married (1998) to Maria, 6 children: Kolya Noah (2001), Larissa Deborah (2002), Jannik David (2005), Katharina Joanna (2007), Viktoria Eva (2012), Anastasia Lea (2014)

**Education**

- 1990-1998: Studying (mainly) mathematics and physics in Clausthal, Marburg, Kiel, all in Germany
- 1998: M.Ed. in mathematics and physics, University of Kiel
- 1998: M.Sc. in mathematics, University of Kiel, Germany
- 2001: Ph.D. in Applied Mathematics, University of Kiel, Germany

**Former and Current Positions**

- 1998-2001: Research Assistant, Mathematical Institute, University of Kiel, Germany
- 2001-2003: Postdoctoral Fellow (NSERC, MITACS) at the Department of Mathematics, UBC, Vancouver, Canada
- 2003-2008: Senior PostDoc in the Financial Mathematics Group at RICAM, Austrian Academy of Sciences
- 2005-2007: External Lecturer at JKU Linz, Austria
- 2005-2008: Project Leader of the FWF-Project P17947 on Computing Optimal Portfolio Policies under Partial Information
- Since 2008: Professor at the Department of Mathematics, University of Kaiserslauten, Germany

The current position was a Heisenberg professorship financed by the DFG for the first 5 years. This support is gratefully acknowledged.

## Research interests

Generally, I am interested in mathematical finance, stochastic control and statistics. In particular, I enjoy finding applicable solutions for various problems of constrained portfolio optimization, e.g., under transaction costs, in incomplete markets, with risk constraints, or under partial information. In addition, I work on option pricing and parameter estimation in (some of) these models.

## Publications

- M. Diehl, R. Horsky, S. Reetz, J. Sass (2023).
**Long‑term stability of a life insurer’s balance sheet.***European Actuarial Journal***13**, 147–182.

[doi]

- J. Sass, A.-K. Thös (2023+).
**Risk reduction and portfolio optimization using clustering methods.***Econometrics and Statistics, to appear.*

[doi]

- J. Sass, D. Westphal, R. Wunderlich (2023).
**Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift.***Stochastic Models***39**, 323-362.

[doi]

- J. Sass, D. Westphal (2022).
**Robust utility maximizing strategies under model uncertainty and their convergence.***Mathematics and Financial Economics***16**, 367-397.

[doi]

- E. Leoff, L. Ruderer, J. Sass (2022).
**Signal-to-noisematrix and model reduction in continuous-time hidden Markov models.***Mathematical Methods of Operations Research***95**, 327-359.

[doi]

- C. Laudagé, J. Sass, J. Wenzel (2022).
**Combining multi-asset and intrinsic risk measures.***Insurance:Mathematics and Economics***106**, 254–269.

[doi]

- J. Sass, D. Westphal (2021).
**Robust utility maximization in a multivariate financial market with stochastic drift.***International Journal of Theoretical and Applied Finance*(**24**(4)*28 pages*)

[doi]

- J. Sass, D. Westphal, R. Wunderlich (2021).
**Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift.***Journal of Applied Probability***58**, 197-216.

[doi]

- F. Blandfort, C. Glock, J. Sass, S. Schwaar, R. Sefrin (2021).
**Efficient and comprehensive time-dependent reliability analysis of complex structures by a parameter state model.***ASCE-ASME J. Risk Uncertainty Eng. Syst., Part A: Civ. Eng.***7**(2).

[doi]

- S. Desmettre, C. Laudagé, J. Sass (2020).
**Good-deal bounds for option prices under value-at-risk and expected shortfall constraints .***Risks***8**(4), 254–269.

[doi]

- C. Erlwein-Sayer, S. Grimm, P. Ruckdeschel, J. Sass, T. Sayer (2020)
**Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations.***Applied Stochastic Models in Business and Industry***36**(3), 307-334.

[doi]

- C. Belak, J. Sass (2019).
**Finite-horizon optimal investment with transaction costs: Construction of the optimal strategies.**

Finance and Stochastics**23**(4), 861-888.

[doi]

- C. Belak, J. Sass (2019).
**Finite-horizon optimal investment with transaction costs: Construction of the optimal strategies.**

Finance and Stochastics**23**(4), 861-888.

[doi]

- H. Fink, S. Geissel, J. Sass, F.T. Seifried (2019).
**Implied risk aversion: An alternative rating system for retail structured products.**

Review of Derivatives Research**22**(3), 357-387.

[doi]

- S. Geissel, J. Sass, F.T. Seifried (2018).
**Optimal expected utility risk measures.**

Statistics & Risk Modeling**35**(1-2), 73-87.

[doi]

- V. Krishnamurthy, E. Leoff, J. Sass (2018).
**Filterbased stochastic volatility in continuous-time hidden Markov models.***Econometrics and Statistics*.**6***, (April 2018), 1-21.*

[doi]

- O. Putyatina, J. Sass (2018).
**Approximation for portfolio optimization in a financial market with shot-noise jumps.***Computational Management Science*. 15, (2), 161-186.

[doi]

- J. Sass, D. Westphal, R. Wunderlich (2017).
**Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift.***International Journal of Theoretical and Applied Finance*.**20**, (4). (*41 pages*)

[doi]

- C. Belak, O. Menkens, J. Sass (2015).
**Worst-case portfolio optimization with proportional transaction costs.***Stochastics*.**87**, 623-663.

- C. Belak, O. Menkens, J. Sass (2015).
**On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs.***SIAM Journal on Control and Optimization*.**53**, 2878-2897.

- J. Sass, M. Schäl (2014).
**Numeraire portfolios and utility based price systems under proportional transaction costs.***Decisions in Economics and Finance*.**37**, 195-234.

- J. Sass, F.T. Seifried (2014).
**Insurance markets and unisex tariffs: Is the European Court of Justice improving or destroying welfare?***Scandinavian Actuarial Journal*.**2014**, 228-254.

[doi]

- J. Sass, M. Smaga (2014).
**FTAP in finite discrete time with transaction costs.***Finance and Stochastics*.**18**, 228-254.

- A. Gabih, H. Kondakji, J. Sass, R. Wunderlich (2014).
**Expert opinions and logarithmic utility maximization in a market with Gaussian drift.***Communications on Stochastic Analysis*.**8**, 27-47.

- R. Herzog, K. Kunisch, J. Sass (2013).
**Primal-dual methods for the computation of trading regions under proportional transaction costs.***Mathematical Methods of Operations Research*.**77**, 101-130.

- W. Putschögl, J. Sass (2011).
**Optimal investment under dynamic risk constraints and partial information.***Quantitative Finance*.**11**, 1547-1564.

- J. Sass, R. Wunderlich (2010).
**Optimal portfolio policies under bounded expected loss and partial information.***Mathematical Methods of Operations Research*.**75**, 25-61.

- M. Hahn, S. Frühwirth-Schnatter, J. Sass (2010).
**Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models.***Journal of Financial Econometrics*.**8**, 88-121.

- M. Hahn, J. Sass (2009).
**Parameter estimation in continuous time Markov switching models - A semi-continuous Markov chain Monte Carlo approach.***Bayesian Analysis*.**4**, 63-84.

- M. Hahn, S. Frühwirth-Schnatter, J. Sass (2009).
**Estimating continuous-time Markov processes based on merged time series.***AStA Advances in Statistical Analysis*.**93**, 403-425.

- A. Gabih, J. Sass, R. Wunderlich (2009).
**Utility maximization under bounded expected loss.***Stochastic Models*.**25**, 375-407.

- R. J. Elliott, V. Krishnamurthy, J. Sass (2008).
**Moment based regression algorithm for drift and volatility estimation in continuous time Markov switching models.***Econometrics Journal*.**11**, 244-270.

- W. Putschögl, J. Sass (2008).
**Optimal consumption and investment under partial information.***Decisions in Economics and Finance*.**31**, 131-170.

- M. Hahn, W. Putschögl, J. Sass (2007).
**Portfolio optimization with non-constant volatility and partial information.***Brazilian Journal of Probability and Statistics*.**21**, 27-61.

- J. Sass (2007).
**Utility maximization with convex constraints and partial information.***Acta Applicandae Mathematicae*.**97**, 221-238.

- A. Irle, J. Sass (2006).
**Optimal portfolio policies under fixed and proportional transaction costs.***Advances in Applied Probability*.**38**, 916-942.

- J. Sass (2005).
**Portfolio optimization under transaction costs in the CRR model.***Mathematical Methods of Operations Research*.**61**, 239-259.

- J. Sass, U.G. Haussmann (2004).
**Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain.***Finance and Stochastics*.**8**, 553-577.

- J. Sass, M. Schäl (2017).
**Optimal portfolios and pricing of financial derivatives under proportional transaction costs.***Markov Decision Processes in Practice*. R.J. Boucherie, N.M. van Dijk (eds.) 523-546.

- B. Rudloff, J. Sass, R. Wunderlich (2008).
**Entropic risk constraints for utility maximization.***Festschrift in Celebration of Wilfried Prof. Dr. Grecksch 60th Birthday*. C. Tammer, F. Heyde (eds.) 149-180.

- A. Irle, J. Sass (2006).
**Good portfolio strategies under transaction costs: A renewal theoretic approach.***Stochastic Finance*. M. do Rosario Grossinho, A.N. Shiryaev, M.L. Esquivel, P.E. Oliveira (eds.) 321-341.

- F. Blandfort, C. Glock, J. Sass, S. Schwaar, R. Sefrin (2019).
**Subset simulation interpolation - A new approach to compute effects of model-dynamics in structural reliability.***In: M. Beer, E. Zio (eds.): Proceedings of the 29th European safety and reliability conference (ESREL 2019), 22-26 September 2019, Hannover, Germany, p. 1978-1986.*

[www]

- F. Blandfort, C. Glock, J. Sass, S. Schwaar, R. Sefrin (2019).
**A parametric state space model for time-dependent reliability.***In: D. Yurchenko, D. Proske (eds.): Proceedings of the 17th International Probabilistic Workshop (IPW 2019), 11-13 September 2019, Edinburgh, UK,**p. 31-36.*

- R. Wunderlich, J. Sass, A. Gabih (2007).
**Optimal portfolios under bounded shortfall risk and partial information.**

K.-H. Waldmann, U.M. Stocker (eds.)*Operations Research Proceedings 2006*. Springer, Berlin: 581-586. - K. Kunisch, J. Sass (2007).
**Trading regions under proportional transaction costs.**

K.-H. Waldmann, U.M. Stocker (eds.)*Operations Research Proceedings 2006*. Springer, Berlin: 563-568. - M. Hahn, W. Putschögl, J. Sass (2007).
**Parameter estimation for stock models with non-constant volatility using Markov chain Monte Carlo methods.**

K.-H. Waldmann, U.M. Stocker (eds.)*Operations Research Proceedings 2006*. Springer, Berlin: 227-232. - J. Sass (2006).
**Portfolio optimization under partial information and convex constraints in a hidden Markov model.**

K.-H. Waldmann, U.M. Stocker (eds.)*Operations Research Proceedings 2005*. Springer, Berlin: 227-232. - A. Gabih, J. Sass, R. Wunderlich (2005).
**Utility maximization with bounded shortfall risk in an HMM for the stock returns.**

N. Kolev, P. Morettin (eds.)*Proceedings of the Second Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, August 28 - September 3, 2005*. 116-121. - U.G. Haussmann, J. Sass (2004).
**Optimal terminal wealth under partial information for HMM stock returns.**

G. Yin and Q. Zhang (eds.)*Mathematics of Finance: Proceedings of an AMS-IMS-SIAM Summer Conference, June 22-26, 2003, Utah, AMS Contemporary Mathematics 351*. 171-185. - J. Sass, U.G. Haussmann (2004).
**Portfolio optimization under partial information: Stochastic volatility in a hidden Markov model.**

D. Ahr, R. Fahrion, M. Oswald, G. Reinelt (eds.)*Operations Research Proceedings 2003*. Springer, Berlin: 387-394.

- S. Desmettre, C. Laudagé, J. Sass (2023)
**Scalarized utility-based multi-asset risk measures***Available on SSRN (29 pages)*

[SSRN]

- R. Rosemann, J. Sass (2023).
**A multi-period model of an emissions trading system.**