Risk management for international portfolios with basket options: A multi-stage stochastic programming approach

DOI10.1007/s11424-015-3001-zzbMath1332.93386OpenAlexW816347767MaRDI QIDQ256732

Libo Yin, Liyan Han

Publication date: 10 March 2016

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-015-3001-z

zbMATH Keywords

stochastic programmingportfolio optimizationrisk managementbasket optionsoptions applications

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20) Portfolio theory (91G10)

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