Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing
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- Tim Leung & Qingshuo Song & Jie Yang, 2013. "Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing," Finance and Stochastics, Springer, vol. 17(4), pages 839-870, October.
References listed on IDEAS
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- Jarrow, Robert A., 2010. "Understanding the risk of leveraged ETFs," Finance Research Letters, Elsevier, vol. 7(3), pages 135-139, September.
- Erhan Bayraktar & Yu-Jui Huang & Qingshuo Song, 2010. "Outperforming the market portfolio with a given probability," Papers 1006.3224, arXiv.org, revised Aug 2012.
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- Erhan Bayraktar & Gu Wang, 2014. "Quantile Hedging in a Semi-Static Market with Model Uncertainty," Papers 1408.4848, arXiv.org, revised Sep 2017.
- Yao Tung Huang & Qingshuo Song & Harry Zheng, 2015. "Weak Convergence of Path-Dependent SDEs in Basket CDS Pricing with Contagion Risk," Papers 1506.00082, arXiv.org, revised May 2016.
More about this item
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-09 (All new papers)
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