Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk
Year of publication: |
2005
|
---|---|
Authors: | Vyncke, D. ; Goovaerts, M. ; Dhaene, J. ; Vanduffel, S. |
Published in: |
Review of Business and Economics. - Faculteit Economie en Bedrijfswetenschappen. - Vol. L.2005, 1, p. 103-114
|
Publisher: |
Faculteit Economie en Bedrijfswetenschappen |
Subject: | Black-Scholes model | Capital at Risk | portfolio optimization | Value at Risk |
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