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Reading Course: Portfolio Optimization and Hedging with Constrained Portfolios

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Reading Course: Portfolio Optimization and Hedging with Constrained Portfolios

Next dates: May 15, 22, 29 in Room 48-582, at 8:15 am.


Literature:

Cvitanic/Karatzas (1992): Convex Duality in Constrained Portfolio Optimization. The Annals of Applied Probability 7, 767-818.

Cvitanic/Karatzas (1993): Hedging contingent claims with constrained portfolios. The Annals of Applied Probability 3, 652-681.