Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
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Publication:2430628
DOI10.1007/s10479-009-0636-yzbMath1209.91171OpenAlexW2010574779MaRDI QIDQ2430628
Publication date: 8 April 2011
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://cris.maastrichtuniversity.nl/ws/files/6360396/2010_SchynsCramaH_bner_AOR.pdf
Numerical methods (including Monte Carlo methods) (91G60) Mixed integer programming (90C11) Portfolio theory (91G10)
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Risk management with multiple VaR constraints ⋮ Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
Uses Software
Cites Work
- The pricing of options on an interval binomial tree. An application to the DAX-index option market
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- Duality and martingales: a stochastic programming perspective on contingent claims
- Coherent Measures of Risk
- Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis
- Scenario generation and stochastic programming models for asset liability management
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