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pro vyhledávání: '"Hedieh Ashrafi"'
Autor:
Hedieh Ashrafi, Aurélie C. Thiele
Publikováno v:
Operations Research Perspectives, Vol 8, Iss , Pp 100178- (2021)
We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as well as European options on those stocks, and the stock returns are modeled using an uncertainty set approach. Specifically, the manag
Externí odkaz:
https://doaj.org/article/64dc189230274e6a87980283d03c9298
Autor:
Aurélie Thiele, Hedieh Ashrafi
Publikováno v:
Operations Research Perspectives, Vol 8, Iss, Pp 100178-(2021)
We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as well as European options on those stocks, and the stock returns are modeled using an uncertainty set approach. Specifically, the manag
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::14d1d177a194f3e696747a966e0262c0
http://www.sciencedirect.com/science/article/pii/S2214716021000014
http://www.sciencedirect.com/science/article/pii/S2214716021000014