Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Géraldine Bouveret
| Year of publication: |
2019
|
|---|---|
| Authors: | Bouveret, Géraldine |
| Subject: | Stochastic target problems | risk constraints | quantile hedging | expected utility | Bermudan options | Hedging | Portfolio-Management | Portfolio selection | Erwartungsnutzen | Expected utility | Stochastischer Prozess | Stochastic process | Risiko | Risk | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2019.1638276 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012210285