Mean-variance hedging in the presence of estimation risk
Wan-Yi Chiu
| Year of publication: |
2021
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|---|---|
| Authors: | Chiu, Wan-Yi |
| Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 24.2021, 3, p. 221-241
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| Subject: | Minimum-variance hedge | Mean-variance hedging | Risk-aversion coefficient | Information ratio | Significance test | Hedging | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Risiko | Risk | Statistischer Test | Statistical test | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-021-09176-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012659670