Portfolio optimization under a quantile hedging constraint (Q4555858)
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scientific article; zbMATH DE number 6983648
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| default for all languages | No label defined |
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| English | Portfolio optimization under a quantile hedging constraint |
scientific article; zbMATH DE number 6983648 |
Statements
PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT (English)
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23 November 2018
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quantile hedging constraints
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optimal control
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viscosity solutions
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0.8015986084938049
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0.8013851046562195
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0.7767819762229919
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0.7741177082061768
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