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Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures.

Jun-ya GotohYoshitsugu YamamotoWeifeng Yao
Published in: J. Optim. Theory Appl. (2011)
Keyphrases
  • risk measures
  • portfolio optimization
  • risk averse
  • lower bound
  • linear program
  • portfolio selection