Multistage optimization of option portfolio using higher order coherent risk measures

Yassine Matmoura, Spiridon Penev. Multistage optimization of option portfolio using higher order coherent risk measures. European Journal of Operational Research, 227(1):190-198, 2013. [doi]

Authors

Yassine Matmoura

This author has not been identified. Look up 'Yassine Matmoura' in Google

Spiridon Penev

This author has not been identified. Look up 'Spiridon Penev' in Google