Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints (Q4457073)
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scientific article; zbMATH DE number 2061224
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| English | Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints |
scientific article; zbMATH DE number 2061224 |
Statements
Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints (English)
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21 March 2004
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Coherent Risk Measure
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Shortfall Risk
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Constrained Strategy
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Super-hedging
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Convex Duality
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0.838462769985199
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0.8229042887687683
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0.8210616707801819
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0.810360312461853
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