% You need the following packages in the main file to let this entry work:
% \usepackage[english,ngerman]{babel} multilingual support
% \usepackage{url} urls formatting
% \usepackage{hyperref} make url klickable, recommended
% Just put them into the preamble of the main .tex-file.
% You should possibly make some changes to the typography of this entry,
% e.g. quotation marks.
% Which fields of this entry will be shown in the bibliography depends on the bibtex-style, which you use
@incollection{oai:export,
author = {Teemu Pennanen},
title = {Introduction to convex optimization in financial markets},
series = {Stochastic Programming E-Print Series},
year = {2012},
publisher = {Institut für Mathematik},
editor =
{
Julie L.
Higle and Werner
Römisch and Surrajeet
Sen
},
WernerRömischSurrajeetSenabstract = {Convexity arises quite naturally in financial risk management. In risk preferences concerning random cash-flows, convexity corresponds to the fundamental diversification principle. Convexity is a basic property also of budget constraints both in classical linear models as well as in more realistic models with transaction costs and constraints. Moreover, modern securities markets are based on trading protocols that result in convex trading costs. The first part of this paper gives an introduction to certain basic concepts and principles of financial risk management in simple optimization terms. The second part reviews some convex optimization techniques used in mathematical and numerical analysis of financial optimization problems. },
note = {published; Springer; Math. Programming Series B; 134; 2012; 1}
url = { \url{http://edoc.hu-berlin.de/docviews/abstract.php?id=39697} },
url = { \url{urn:nbn:de:kobv:11-100205483} },
number = {
7},
timestamp = {2017-01-24T01:15:05Z}
}