Multistage optimization of option portfolio using higher order coherent risk measures
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- repec:spr:aistmt:v:69:y:2017:i:4:d:10.1007_s10463-016-0559-8 is not listed on IDEAS
- Borodin, Valeria & Bourtembourg, Jean & Hnaien, Faicel & Labadie, Nacima, 2015. "A multi-step rolled forward chance-constrained model and a proactive dynamic approach for the wheat crop quality control problem," European Journal of Operational Research, Elsevier, vol. 246(2), pages 631-640.
- Sıtkı Gülten & Andrzej Ruszczyński, 2015. "Two-stage portfolio optimization with higher-order conditional measures of risk," Annals of Operations Research, Springer, vol. 229(1), pages 409-427, June.
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More about this item
KeywordsCoherent risk measures; Duality; Average value-at-risk; Monte Carlo simulation; Kusuoka measure; Stochastic programming;
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