Shortfall risk minimising strategies in the binomial model: characterisation and convergence.
Gino FaveroTiziano VargioluPublished in: Math. Methods Oper. Res. (2006)
Keyphrases
- formal model
- statistical model
- probabilistic model
- probability distribution
- computational model
- mathematical model
- decision trees
- information systems
- theoretical analysis
- conceptual model
- risk assessment
- risk management
- convergence rate
- parameter estimation
- model selection
- prior knowledge
- similarity measure
- high level