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~isPartOf:"Mathematical Methods of Operations Research"
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Binomial model
2
Dynamic Programming algorithm
1
Martingale method
1
Optimal strategy
1
Portfolio optimization
1
Replication
1
Robustness
1
Shortfall risk
1
Shortfall risk constraints
1
Shortfall risk minimization
1
Stochastic optimal control
1
Transaction costs
1
adaptive control
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binomial model
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robust control
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shortfall risk minimization
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Favero, Gino
2
Gabih, A.
1
Grecksch, W.
1
Richter, M.
1
Trivellato, Barbara
1
Vargiolu, Tiziano
1
Wunderlich, R.
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Mathematical Methods of Operations Research
Computational Statistics
4
Sonderforschungsbereich 504, Rationalitätskonzepte, Entscheidungsverhalten und Ökonomische Modellierung
4
Working paper series / Finance and accounting / Johann Wolfgang Goethe-Universität Frankfurt, Fachbereich Wirtschaftswissenschaften
4
Economics Papers from University Paris Dauphine
3
Finance and stochastics
3
International journal of theoretical and applied finance
3
Applied Mathematical Finance
2
Europäische Hochschulschriften / 5
2
Finance and Stochastics
2
Mathematics and financial economics
2
Quantitative Finance
2
Research paper series / Swiss Finance Institute
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SFB 373 Discussion Paper
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SFB 373 Discussion Papers
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Annals of Finance
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Applied economics letters
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Diskussionsarbeit
1
Diskussionsbeitrag / Westfälische Wilhelms-Universität Münster, Institut für Kreditwesen
1
Equilibrium, markets and dynamics : essays in honour of Claus Weddepohl ; with 6 tables
1
European journal of operational research : EJOR
1
Finance
1
Finanzintermediation : theoretische, wirtschaftspolitische und praktische Aspekte aktueller Entwicklungen im Bank- und Börsenwesen : Festschrift für Professor Dr. Wolfgang Gerke zum sechzigsten Geburtstag
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Handbuch Alternative Investments ; Bd. 1
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International journal of financial engineering
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Journal of Property Investment & Finance
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Journal of derivatives and quantitative studies
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Kredit und Kapital
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Management Science
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Replication and
shortfall
risk
in a binomial model with transaction costs
Trivellato, Barbara
- In:
Mathematical Methods of Operations Research
69
(
2009
)
1
,
pp. 1-26
The
shortfall
risk
is defined as the optimal mean value of the terminal deficit produced by a self-financing portfolio …
Persistent link: https://www.econbiz.de/10010950023
Saved in:
2
Shortfall
risk
minimising strategies in the binomial model: characterisation and convergence
Favero, Gino
;
Vargiolu, Tiziano
- In:
Mathematical Methods of Operations Research
64
(
2006
)
2
,
pp. 237-253
In this paper we study the dependence on the loss function of the strategy, which minimises the expected
shortfall
risk
…
Persistent link: https://www.econbiz.de/10010949975
Saved in:
3
Optimal portfolio strategies benchmarking the stock market
Gabih, A.
;
Grecksch, W.
;
Richter, M.
;
Wunderlich, R.
- In:
Mathematical Methods of Operations Research
64
(
2006
)
2
,
pp. 211-225
The paper investigates the impact of adding a
shortfall
risk
constraint to the problem of a portfolio manager who …
Persistent link: https://www.econbiz.de/10010950159
Saved in:
4
Shortfall
risk
minimization under model uncertainty in the binomial case: adaptive and robust approaches
Favero, Gino
- In:
Mathematical Methods of Operations Research
53
(
2001
)
3
,
pp. 493-503
We consider the problem of minimizing the
shortfall
risk
when the aim is to hedge a contingent claim in a binomial …
Persistent link: https://www.econbiz.de/10010999809
Saved in:
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