CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE (Q5472779)
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scientific article; zbMATH DE number 5031636
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE |
scientific article; zbMATH DE number 5031636 |
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CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE (English)
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12 June 2006
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concave stochastic ordering
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portfolio optimization with constraints
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American options
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supermartingale
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Snell envelope
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