Dynamic portfolio replication using stochastic programming
M. A. H. Dempster and G. W. P. Thompson
| Year of publication: |
2002
|
|---|---|
| Authors: | Dempster, Michael A. H. ; Thompson, G. W. P. |
| Published in: |
Risk management : value at risk and beyond. - Cambridge [u.a.] : Cambridge Univ. Press, ISBN 0-521-78180-9. - 2002, p. 100-128
|
| Subject: | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Notes: | Literaturangaben |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001689194