Solving optimal investment problems with structured products under CVaR constraints (Q3625228)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving optimal investment problems with structured products under CVaR constraints |
scientific article |
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Solving optimal investment problems with structured products under CVaR constraints (English)
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12 May 2009
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linear optimization
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risk measures
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linearization of conditional value-at-risk
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optimal investment
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stochastic processes
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