Extending pricing rules with general risk functions
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Publication:1044131
DOI10.1016/j.ejor.2009.02.015zbMath1177.91143MaRDI QIDQ1044131
Publication date: 10 December 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/12956
convex optimization; optimality conditions; pricing rule; risk measure and deviation measure; incomplete and imperfect market
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