ALEJANDRO
BALBÁS DE LA CORTE
Investigador hasta 2008
Silvia
Mayoral Blaya
Publicaciones en las que colabora con Silvia Mayoral Blaya (6)
2009
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Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm
European Journal of Operational Research, Vol. 192, Núm. 2, pp. 603-620
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Properties of distortion risk measures
Methodology and Computing in Applied Probability, Vol. 11, Núm. 3 SPEC. ISS., pp. 385-399
2007
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Risk-neutral valuation with infinitely many trading dates
Mathematical and Computer Modelling, Vol. 45, Núm. 11-12, pp. 1308-1318
2006
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Nonconvex optimization for pricing and hedging in imperfect markets
Computers and Mathematics with Applications, Vol. 52, Núm. 1-2, pp. 121-136
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Optimizing Measures of Risk: A Simplex-like Algorithm
Working Papers ( Universidad de Navarra. Facultad de Ciencias Económicas y Empresariales )
2004
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Vector optimization approach for pricing and hedging in imperfect markets
INFOR, Vol. 42, Núm. 3, pp. 217-233