Replicating Portfolios: $$\mathscr {L}^1$$ Versus $$\mathscr {L}^2$$ Optimization

DOI10.1007/978-3-319-42902-1_72zbMath1376.91099MaRDI QIDQ4596248

Jan Natolski, Ralf Werner

Publication date: 1 December 2017

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-42902-1_72

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods