Portfolio optimization under a quantile hedging constraint
We study a problem of portfolio optimization under a European quantile hedging constraint. More precisely, we consider a class of Markovian optimal stochastic control problems in which two controlled processes must meet a probabilistic shortfall constraint at some terminal date. We denote by V the c...
Main Author: | Bouveret, G |
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Format: | Journal article |
Published: |
World Scientific Publishing
2018
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