Generalized Sharpe Ratios and Asset Pricing in Incomplete Markets
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- HENROTTE, Philippe, 2002. "Pricing kernels and dynamic portfolios," Les Cahiers de Recherche 768, HEC Paris.
- Oleg Bondarenko & Iñaki Longarela, 2009. "A general framework for the derivation of asset price bounds: an application to stochastic volatility option models," Review of Derivatives Research, Springer, vol. 12(2), pages 81-107, July.
- Takuji Arai & Masaaki Fukasawa, 2011. "Convex risk measures for good deal bounds," Papers 1108.1273, arXiv.org.
- Černý, Aleš & Maccheroni, Fabio & Marinacci, Massimo & Rustichini, Aldo, 2012.
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- Ales Cerný & Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2008. "On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility," Carlo Alberto Notebooks 79, Collegio Carlo Alberto.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-08 (All new papers)
- NEP-FIN-2002-07-08 (Finance)
- NEP-FMK-2002-07-08 (Financial Markets)
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