A stochastic programming model for dynamic portfolio management with financial derivatives
Diana Barro, Giorgio Consigli, Vivek Varun
| Year of publication: |
2022
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|---|---|
| Authors: | Barro, Diana ; Consigli, Giorgio ; Varun, Vivek |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 140.2022, p. 1-21
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| Subject: | Derivatives pricing | Equity and volatility risk | Financial engineering | Multistage stochastic programming | Optimal risk control | Option strategies | Stochastischer Prozess | Stochastic process | Experiment | Derivat | Derivative | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2022.106445 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013463145