Incorporating statistical model error into the calculation of acceptability prices of contingent claims (Q1739048)

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Incorporating statistical model error into the calculation of acceptability prices of contingent claims
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    Incorporating statistical model error into the calculation of acceptability prices of contingent claims (English)
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    24 April 2019
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    multistage stochastic optimization
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    distributionally robust optimization
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    model ambiguity
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    confidence regions
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    nested distance
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    Wasserstein distance
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    acceptability pricing
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    bid-ask spread
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