Basket problems in margin calculation: modelling and algorithms.

DOI10.1016/S0377-2217(99)00420-8zbMath1076.91519OpenAlexW1992679875MaRDI QIDQ5925945

Fiterman, Alexander E., Timkovsky, Vadim G.

Publication date: 5 July 2001

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(99)00420-8

zbMATH Keywords

BasketHedgingMarginModellingPortfolio

Mathematics Subject Classification ID

Cites Work

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