Coherent risk measures and good-deal bounds
Year of publication: |
2001-04-10
|
---|---|
Authors: | Jaschke, Stefan ; Küchler, Uwe |
Published in: |
Finance and Stochastics. - Springer. - Vol. 5.2001, 2, p. 181-200
|
Publisher: |
Springer |
Subject: | Coherent risk measures | valuation bounds | portfolio optimization | robust hedging | convex duality |
Extent: | application/pdf |
---|---|
Type of publication: | Article |
Notes: | received: March 1999; final version received: March 2000 |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G13 - Contingent Pricing; Futures Pricing ; D52 - Incomplete Markets |
Source: |
-
The Duration Puzzle in Life-Cycle Investment
van Bilsen, Servaas, (2019)
-
Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization
Jaschke, Stefan R., (1999)
-
Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization
Jaschke, Stefan R., (1999)
- More ...
-
Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization
Jaschke, Stefan R., (1999)
-
Coherent risk measures, valuation bounds, and (m, r)-portfolio optimization
Jaschke, Stefan R., (1999)
-
Coherent risk measures and good-deal bounds
Jaschke, Stefan R., (2001)
- More ...