Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Year of publication: |
2019
|
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Authors: | Bouveret, Géraldine |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 26.2019, 3, p. 222-256
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Subject: | Stochastic target problems | risk constraints | quantile hedging | expected utility | Bermudan options | Portfolio-Management | Portfolio selection | Hedging | Erwartungsnutzen | Expected utility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Risiko | Risk | Risikomaß | Risk measure | Risikoaversion | Risk aversion | Mathematische Optimierung | Mathematical programming |
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