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Optimal selection of a portfolio of options under Value-at-Risk constraints: A scenario approach

By M. Schyns, Y. Crama and Georges Hübner
Topics: atira/keywords/um_classifications/02, 2 International, STOCHASTIC-PROGRAMMING MODELS, ASSET/LIABILITY MANAGEMENT, CONTINGENT CLAIMS, GENERATION, TREE
Year: 2010
DOI identifier: 10.1007/s10479-009-0636-y
OAI identifier: oai:cris.maastrichtuniversity.nl:publications/19ccc955-8590-4ab0-8cd7-e7a39df203a6
Provided by: UM Publications

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