Modeling price dynamics, optimal portfolios, and option valuation for cryptoassets
Yuan Hu, W. Brent Lindquist, and Frank J. Fabozzi
Year of publication: |
2021
|
---|---|
Authors: | Hu, Yuan ; Lindquist, W. Brent ; Fabozzi, Frank J. |
Published in: |
The journal of alternative investments : JAI. - New York, NY : Institutional Investor, ISSN 1520-3255, ZDB-ID 2048686-8. - Vol. 24.2021, 1, p. 75-93
|
Subject: | Currency | options | statistical methods | VAR and use of alternative risk measures of trading risk | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk |
Saved in:
Online Resource
Saved in favorites
Similar items by subject
-
Mutual funds herding behavior, sentiment, and market volatility
Kholdy, Shady, (2021)
-
Model risk in risk analysis for no-negative-equity-guarantees
Huang, Jr-Wei, (2021)
-
Turning tail risks into tailwinds
Gava, Jérôme, (2021)
- More ...
Similar items by person