Multistage optimization of option portfolio using higher order coherent risk measures
Yassine Matmoura; Spiridon Penev
| Year of publication: |
2013
|
|---|---|
| Authors: | Matmoura, Yassine ; Penev, Spiridon |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 227.2013, 1 (16.05.), p. 190-198
|
| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Optionsgeschäft | Option trading | Mathematische Optimierung | Mathematical programming | Risiko | Risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009723389