Conditional value-at-risk-based optimal partial hedging
Year of publication: |
2014
|
---|---|
Authors: | Cong, Jianfa ; Tan, Ken Seng ; Wang, Chengguo |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013/2014, 3, p. 49-83
|
Subject: | Conditional value-at-risk (CVAR) | Hedging | Original research | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomanagement | Risk management | ARCH-Modell | ARCH model |
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