Shortfall risk minimization under model uncertainty in the binomial case: adaptive and robust approaches
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Publication:1396988
DOI10.1007/S001860100127zbMath1061.91018OpenAlexW1974484418MaRDI QIDQ1396988
Publication date: 15 July 2003
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860100127
Related Items (3)
Shortfall risk minimising strategies in the binomial model: characterisation and convergence ⋮ Optimal partial hedging in a discrete-time market as a Knapsack problem ⋮ Replication and shortfall risk in a binomial model with transaction costs
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