Explicit solutions for shortfall risk minimization in multinomial models.
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Publication:1862742
DOI10.1007/S102030200009zbMath1049.91084OpenAlexW1990909099MaRDI QIDQ1862742
Caterina Scagnellato, Tiziano Vargiolu
Publication date: 2002
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s102030200009
Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Discrete-time control/observation systems (93C55) Dynamic programming (90C39)
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