A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints (Q4991071)
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scientific article; zbMATH DE number 7353676
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| default for all languages | No label defined |
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| English | A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints |
scientific article; zbMATH DE number 7353676 |
Statements
A note on - vs. -expected loss portfolio constraints (English)
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2 June 2021
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optimal portfolio
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expected loss constraint
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physical measure \(\mathcal{P}\)
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risk-neutral measure \(\mathcal{Q}\)
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\(\mathcal{Q}\)-strategy fulfilling \(\mathcal{P}\)-risk constraint
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0.7757778167724609
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0.7670882344245911
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0.7669302225112915
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0.7658452391624451
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0.7582316398620605
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