A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation (Q5944955)
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scientific article; zbMATH DE number 1655721
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| default for all languages | No label defined |
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| English | A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation |
scientific article; zbMATH DE number 1655721 |
Statements
A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation (English)
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10 October 2001
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dynamic asset allocation
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worst case payoff
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options
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portfolio insurance
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Sharpe ratio
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stochastic programming
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transaction costs
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asset/liability management
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0.7932732105255127
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0.7701090574264526
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0.7696757912635803
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0.7695443630218506
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