"Optimal selection of a portfolio of options under Value-at-Risk ..."

Michaël Schyns, Yves Crama, G. Hübner (2010)

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DOI: 10.1007/S10479-009-0636-Y

access: closed

type: Journal Article

metadata version: 2020-08-13

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Michaël Schyns, Yves Crama, G. Hübner:
Optimal selection of a portfolio of options under Value-at-Risk constraints: a scenario approach. Ann. Oper. Res. 181(1): 683-708 (2010)

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