Modeling a risk-based criterion for a portfolio with options
Year of publication: |
2014
|
---|---|
Authors: | Deng, Geng ; Dulaney, Tim ; McCann, Craig |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013/14, 6, p. 77-100
|
Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Kapitalmarktrendite | Capital market returns | Volatilität | Volatility | Sensitivitätsanalyse | Sensitivity analysis | Geld-Brief-Spanne | Bid-ask spread | Black-Scholes-Modell | Black-Scholes model |
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