Viabilist and tychastic approaches to guaranteed ALM problem

Abstract : This study reconsiders the problem of hedging a liability by a portfolio made of a riskless asset and an underlying.
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Article dans une revue
Risk and Decision Analysis, IOS, 2012, 3 (1-2), pp.89-113. 〈10.3233/RDA-2011-0033〉
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https://hal.inria.fr/hal-00800178
Contributeur : Estelle Bouzat <>
Soumis le : mercredi 13 mars 2013 - 12:04:41
Dernière modification le : jeudi 10 mai 2018 - 02:00:57

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Jean-Pierre Aubin. Viabilist and tychastic approaches to guaranteed ALM problem. Risk and Decision Analysis, IOS, 2012, 3 (1-2), pp.89-113. 〈10.3233/RDA-2011-0033〉. 〈hal-00800178〉

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