Multistage optimization of option portfolio using higher order coherent risk measures
Year of publication: |
2013
|
---|---|
Authors: | Matmoura, Yassine ; Penev, Spiridon |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 227.2013, 1, p. 190-198
|
Publisher: |
Elsevier |
Subject: | Coherent risk measures | Duality | Average value-at-risk | Monte Carlo simulation | Kusuoka measure | Stochastic programming |
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