Derivative portfolio hedging based on CVaR
Year of publication: |
2004
|
---|---|
Authors: | Alexander, Siddharth ; Coleman, Thomas F. ; Li, Yuying |
Published in: |
Risk measures for the 21st century. - Chichester [u.a.] : Wiley, ISBN 0-470-86154-1. - 2004, p. 339-363
|
Subject: | Hedging | Derivat | Derivative | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory |
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