Hedging gas in a multi-frequency semiparametric CVaR portfolio
Year of publication: |
2024
|
---|---|
Authors: | Živkov, Dejan ; Balaban, Suzana ; Simić, Milica |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 2165501-7. - Vol. 67.2024, 1, Art.-No. 102149, p. 1-18
|
Subject: | Energy portfolio optimization | Parametric and semiparametric downside risk | Wavelet | Nichtparametrisches Verfahren | Nonparametric statistics | Portfolio-Management | Portfolio selection | Hedging | Risikomaß | Risk measure | Theorie | Theory | Schätzung | Estimation | Zustandsraummodell | State space model |
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