A stochastic programming model for dynamic portfolio management with financial derivatives
Under a Creative Commons license
open access
Keywords
Multistage stochastic programming
Option strategies
Equity and volatility risk
Financial engineering
Optimal risk control
Derivatives pricing
MSC
49-N05
60-08
90-C05
91-B25
91-G10
91-G20
JEL classification
C61
C63
G11
G12
G13
Cited by (0)
© 2022 The Authors. Published by Elsevier B.V.