Maximum-loss, minimum-win and the Esscher pricing principle

DOI10.1093/imaman/dpr019zbMath1250.91095OpenAlexW2099996672MaRDI QIDQ3165702

Raimund M. Kovacevic

Publication date: 29 October 2012

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/8123afc4fc98cbcf5a0df2aa3d03038e152f50d3

zbMATH Keywords

portfolio optimizationrobust optimizationmodel riskrisk managementstress testing

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

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