Dynamic currency hedging with non-Gaussianity and ambiguity
Year of publication: |
2024
|
---|---|
Authors: | Polak, Pawel ; Ulrych, Urban |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 2, p. 305-327
|
Subject: | Ambiguity | Currency hedging | Currency risk management | Expected shortfall | Filtered historical simulation | Non-Gaussianity | Theorie | Theory | Hedging | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Währungsrisiko | Exchange rate risk | ARCH-Modell | ARCH model | Währungsderivat | Currency derivative | Simulation | Währungsmanagement | Foreign exchange management | Risikoaversion | Risk aversion |
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