Coherent risk measures and good-deal bounds
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References listed on IDEAS
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More about this item
KeywordsCoherent risk measures; valuation bounds; portfolio optimization; robust hedging; convex duality;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
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