Sensitivity analysis of nonlinear behavior with distorted probability
Year of publication: |
January 2017
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Authors: | Cao, Xi-Ren ; Wan, Xiangwei |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 1, p. 115-150
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Subject: | probability distortion | monolinearity | portfolio selection | perturbation analysis | sensitivity-based optimization | incomplete market | Theorie | Theory | Portfolio-Management | Portfolio selection | Wahrscheinlichkeitsrechnung | Probability theory | Unvollkommener Markt | Incomplete market | Sensitivitätsanalyse | Sensitivity analysis |
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