Developing a multi-period robust optimization model considering American style options (Q889540)
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scientific article; zbMATH DE number 6505775
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| English | Developing a multi-period robust optimization model considering American style options |
scientific article; zbMATH DE number 6505775 |
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Developing a multi-period robust optimization model considering American style options (English)
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9 November 2015
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multi-period portfolio optimization
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option contracts
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robust optimization
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portfolio insurance
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0.7636340856552124
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0.7429686784744263
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0.7424798011779785
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0.742439866065979
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