A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation (Q5944955)
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scientific article; zbMATH DE number 1655721
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation |
scientific article; zbMATH DE number 1655721 |
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A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation (English)
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10 October 2001
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dynamic asset allocation
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worst case payoff
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options
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portfolio insurance
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Sharpe ratio
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stochastic programming
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transaction costs
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asset/liability management
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