Multistage optimization of option portfolio using higher order coherent risk measures (Q2253640)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multistage optimization of option portfolio using higher order coherent risk measures |
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Multistage optimization of option portfolio using higher order coherent risk measures (English)
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27 July 2014
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coherent risk measures
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duality
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average value-at-risk
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Monte Carlo simulation
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Kusuoka measure
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stochastic programming
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