Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation (Q665824): Difference between revisions

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Revision as of 22:54, 4 July 2024

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Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
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    Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation (English)
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    6 March 2012
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    portfolio optimization
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    value-at-risk
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    computational complexity
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    state-price density
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