Constrained optimization with respect to stochastic dominance: Application to portfolio insurance

Mathematical Finance

Volumn 16, Issue 1, 2006, Pages 103-117

  El Karoui, Nicole ^a   Meziou, Asma ^a  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

American options; Concave stochastic ordering; Portfolio optimization with constraints; Snell envelope; Supermartingale

Indexed keywords

EID: 33645130361     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00263.x     Document Type: Conference Paper

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