Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach (Q2430628): Difference between revisions

@@ Property / OpenAlex ID @@
+W2010574779
@@ Property / OpenAlex ID: W2010574779 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q4398361
@@ Property / cites work: Q4398361 / rank @@
+Normal rank
@@ Property / cites work @@
+Scenario optimization
@@ Property / cites work: Scenario optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Simulation and optimization approaches to scenario tree generation
+Normal rank
@@ Property / cites work @@
+Duality and martingales: a stochastic programming perspective on contingent claims
+Normal rank
@@ Property / cites work @@
+Discretized reality and spurious profits in stochastic programming models for asset/liability management
+Normal rank
@@ Property / cites work @@
+Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis
+Normal rank
@@ Property / cites work @@
+Scenario generation and stochastic programming models for asset liability management
+Normal rank
@@ Property / cites work @@
+Q4782132
@@ Property / cites work: Q4782132 / rank @@
+Normal rank
@@ Property / cites work @@
+The pricing of options on an interval binomial tree. An application to the DAX-index option market
+Normal rank
@@ Property / cites work @@
+Q3893678
@@ Property / cites work: Q3893678 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios under a value-at-risk constraint
+Normal rank