Dynamic minimization of worst conditional expectation of shortfall
Year of publication: |
2004
|
---|---|
Authors: | Sekine, Jun |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 14.2004, 4, p. 605-618
|
Subject: | Derivat | Derivative | Portfolio-Management | Portfolio selection | Risiko | Risk | Messung | Measurement | Theorie | Theory |
-
Applied Fundamentals in Finance : Portfolio Management and Investments
Mondello, Enzo, (2023)
-
Weather derivatives risk measures for extreme events
Erhardt, Robert J., (2014)
-
Risikomessung in Portefeuilles mit Derivaten
Locarek-Junge, Hermann, (1998)
- More ...
-
Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates
Hata, Hiroaki, (2006)
-
A note on the risk-premium process in an equilibrium
Sekine, Jun, (2008)
-
A one-factor conditionally linear commodity pricing model under partial information
Kato, Takashi, (2014)
- More ...