Abstract

Replication of a portfolio of market assets under a conditional mean loss criterion is studied. This problem with a risk constraint as the conditional mean loss is studied as a structural extremal problem with binding variables and two groups of constraints. For a large number of assets and continual planning horizons, special methods based on the forward-dual decomposition algorithms are fruitful. Results of numerical experiments are given.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.