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Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints
Nakano, Yumiharu
- In:
Applied Mathematical Finance
10
(
2003
)
2
,
pp. 163-181
obtained by
super-hedging
a contingent claim, which is represented as a Neyman-Pearson-type random variable. …
Persistent link: https://www.econbiz.de/10005279063
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