Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints (Q5241902)
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scientific article; zbMATH DE number 7125796
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints |
scientific article; zbMATH DE number 7125796 |
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Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints (English)
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4 November 2019
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stochastic target problems
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risk constraints
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quantile hedging
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expected utility
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Bermudan options
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