Hedging under multiple risk constraints
Ying Jiao, Olivier Klopfenstein, Peter Tankov
| Year of publication: |
April 2017
|
|---|---|
| Authors: | Jiao, Ying ; Klopfenstein, Olivier ; Tankov, Peter |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 2, p. 361-396
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| Subject: | Multiple risk constraints | Snell envelope | Dynamic programming | Shortfall risk | Asset-liability management | Hedging | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Risikomaß | Risk measure | Risiko | Risk | Dynamische Optimierung | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0326-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944382