Shortfall risk minimization in discrete time financial market models (Q2940764)
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scientific article; zbMATH DE number 6388329
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| English | Shortfall risk minimization in discrete time financial market models |
scientific article; zbMATH DE number 6388329 |
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Shortfall Risk Minimization in Discrete Time Financial Market Models (English)
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20 January 2015
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shortfall risk measures
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risk minimization
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dynamic programming principle
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stochastic approximation algorithm
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vector quantization
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Monte Carlo simulation
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0.850750207901001
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0.838462769985199
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0.8090073466300964
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0.7980369925498962
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0.7977349758148193
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