A note on - vs. -expected loss portfolio constraints (Q4991071)
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scientific article; zbMATH DE number 7353676
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on - vs. -expected loss portfolio constraints |
scientific article; zbMATH DE number 7353676 |
Statements
A note on - vs. -expected loss portfolio constraints (English)
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2 June 2021
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optimal portfolio
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expected loss constraint
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physical measure \(\mathcal{P}\)
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risk-neutral measure \(\mathcal{Q}\)
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\(\mathcal{Q}\)-strategy fulfilling \(\mathcal{P}\)-risk constraint
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