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robust to large innovations. The model also admits a representation as a time-varying heavy-tailed copula which is …
Persistent link: https://www.econbiz.de/10011257658
Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
Persistent link: https://www.econbiz.de/10011256489