Shortfall risk minimising strategies in the binomial model: characterisation and convergence (Q857947)
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scientific article; zbMATH DE number 5082018
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| English | Shortfall risk minimising strategies in the binomial model: characterisation and convergence |
scientific article; zbMATH DE number 5082018 |
Statements
Shortfall risk minimising strategies in the binomial model: characterisation and convergence (English)
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5 January 2007
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shortfall risk minimization
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binomial model
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dynamic programming algorithm
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robustness
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0.9646136164665222
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0.853453516960144
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0.8380359411239624
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0.8225138187408447
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