Choosing put option parameters based on quantiles from the distribution of portfolio value
Year of publication: |
2014-09-09
|
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Authors: | Bell, Peter Newton |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Portfolio | put option | probability distribution | quantile | optimization | risk management | speculation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | C00 - Mathematical and Quantitative Methods. General ; C69 - Mathematical Methods and Programming. Other ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G00 - Financial Economics. General ; G11 - Portfolio Choice |
Source: |
-
Choosing put option parameters based on quantiles from the distribution of portfolio value
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