Model-free CPPI
Year of publication: |
2014
|
---|---|
Authors: | Schied, Alexander |
Published in: |
Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 40.2014, C, p. 84-94
|
Publisher: |
Elsevier |
Subject: | CPPI | DPPI | Model uncertainty | Knightian uncertainty | Föllmer's pathwise Itô calculus | Robustness | Pathwise trading strategies |
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