Dynamic portfolio replication using stochastic programming
Year of publication: |
2002
|
---|---|
Authors: | Dempster, Michael A. H. ; Thompson, G. W. P. |
Published in: |
Risk management : value at risk and beyond. - Cambridge [u.a.] : Cambridge Univ. Press, ISBN 0-521-78180-9. - 2002, p. 100-128
|
Subject: | Stochastischer Prozess | Stochastic process | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
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