Random optimization on random sets

Author:

Lepinette EmmanuelORCID

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Mathematics,Software

Reference18 articles.

1. Baptiste J, Carassus L, Lépinette E (2019) Pricing without martingale measure. Preprint. https://hal.archives-ouvertes.fr/hal-01774150

2. Dalang EC, Morton A, Willinger W (1990) Equivalent martingale measures and no-arbitrage in stochastic securities market models. Stoch Stoch Rep 29:185–201

3. Feinstein Z, Rudloff B (2015) Multi-portfolio time consistency for set-valued convex and coherent risk measures. Finance Stoch 19(1):67–107

4. Hamel A, Heyde F, Rudloff B (2011) Set-valued risk measures for conical market models. Math Financ Econ 5(1):1–28

5. Hess C (2002) Set-valued integration and set-valued probability theory: an overview. In: Pap E (ed) Handbook of measure theory, vol 1, chapter 14, Elsevier, Amsterdam, pp 617–673

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