Zobrazeno 1 - 3
of 3
pro vyhledávání: '"risk management constraint"'
Publikováno v:
The Annals of Applied Probability, 2018 Feb 01. 28(1), 482-510.
Externí odkaz:
https://www.jstor.org/stable/26542314
This article studies and solves the problem of optimal portfolio allocation with CV@R constraints when dealing with imperfectly simulated financial assets. We use a Stochastic biased Mirror Descent to find optimal resource allocation for a portfolio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______4074::699528b843e73d1e99602cd837858c30
https://hal.science/hal-03697232
https://hal.science/hal-03697232
Publikováno v:
Annals of Applied Probability
Annals of Applied Probability, 2018, 28 (1), pp.482-510. ⟨10.1214/17-AAP1310⟩
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2018, 28 (1), pp.482-510. ⟨10.1214/17-AAP1310⟩
The Annals of Applied Probability : an official journal of the institute of mathematical statistics
The Annals of Applied Probability : an official journal of the institute of mathematical statistics, The Institute of Mathematical Statistics, 2018, 28 (1), pp.482-510. 〈10.1214/17-AAP1310〉
Ann. Appl. Probab. 28, no. 1 (2018), 482-510
Annals of Applied Probability, 2018, 28 (1), pp.482-510. ⟨10.1214/17-AAP1310⟩
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2018, 28 (1), pp.482-510. ⟨10.1214/17-AAP1310⟩
The Annals of Applied Probability : an official journal of the institute of mathematical statistics
The Annals of Applied Probability : an official journal of the institute of mathematical statistics, The Institute of Mathematical Statistics, 2018, 28 (1), pp.482-510. 〈10.1214/17-AAP1310〉
Ann. Appl. Probab. 28, no. 1 (2018), 482-510
International audience; In this paper, we study a new type of BSDE, where the distribution of the Y-component of the solution is required to satisfy an additional constraint, written in terms of the expectation of a loss function. This constraint is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e45bdc5a7b5f66170da6549409b324bf