Gain-loss based convex risk limits in discrete-time trading
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Publication:693201
DOI10.1007/s10287-010-0122-7zbMath1253.91180OpenAlexW2048734069MaRDI QIDQ693201
Publication date: 7 December 2012
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-010-0122-7
Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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