Model-free CPPI
Year of publication: |
2014
|
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Authors: | Schied, Alexander |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 40.2014, p. 84-94
|
Subject: | CPPI | DPPI | Model uncertainty | Knightian uncertainty | Föllmer's pathwise Itô calculus | Robustness | Pathwise trading strategies | Theorie | Theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Risiko | Risk | Portfolio-Management | Portfolio selection |
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