Optimal claims with fixed payoff structure
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Publication:5245622
DOI10.1239/jap/1417528474zbMath1331.91156OpenAlexW2073388638MaRDI QIDQ5245622
Ludger Rüschendorf, Carole Bernard, Steven Vanduffel
Publication date: 14 April 2015
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1417528474
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Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models ⋮ The optimal payoff for a Yaari investor ⋮ Portfolio Optimization within a Wasserstein Ball ⋮ Bounds on total economic capital: the DNB case study ⋮ VaR bounds for joint portfolios with dependence constraints ⋮ On the Optimal Investment ⋮ Construction and Hedging of Optimal Payoffs in Lévy Models ⋮ Optimal payoff under the generalized dual theory of choice ⋮ On the construction of optimal payoffs ⋮ Cost-efficiency in multivariate Lévy models
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