Dependence Modeling > 2013 > 1 > 37-53
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journal ISSN : | 2300-2298 |
DOI | 10.2478/demo-2013-0002 |
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Bibliography
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[1] Bernard, C., Boyle, P.P., Vanduffel S. (2011). “Explicit Representation of Cost-Efficient Strategies”, Working paper available at SSRN.
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[2] Bernard, C., Chen, J.S., Vanduffel S. (2013). “Optimal Portfolio under Worst-State Scenarios”, Quant. Finance, to appear.
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[3] Bernard, C., Jiang, X., Vanduffel S. (2012). Note on“ Improved Fréchet bounds and model-free pricing of multi-asset options” by Tankov (2011)”, J. of Appl. Probab., 49(3), 866-875.