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  • Search: subject:"portfolio optirnization"
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Year of publication
Subject
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coherent risk rneasures 2 convex cones 2 convex duality 2 dorninance relations 2 incornplete rnarkets 2 portfolio optirnization 2 proportional transaction costs 2 robust hedging 2 valuation bounds 2
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 1
Language
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English 1 Undetermined 1
Author
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Jaschke, Stefan R. 2 Küchler, Uwe 2
Institution
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1
Source
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EconStor 1 RePEc 1
Showing 1 - 2 of 2
Did you mean: subject:"portfolio optimization" (52,084 results)
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Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization
Jaschke, Stefan R.; Küchler, Uwe - 1999
This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems. It is economically general in the sense that it works for any cash stream spaces, be it in dynamic trading settings, one-step...
Persistent link: https://www.econbiz.de/10010309989
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Cover Image
Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization
Jaschke, Stefan R.; Küchler, Uwe - Sonderforschungsbereich 373, Quantifikation und … - 1999
This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems. It is economically general in the sense that it works for any cash stream spaces, be it in dynamic trading settings, one-step...
Persistent link: https://www.econbiz.de/10010983425
Saved in:
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