Nonlinear portfolio selection using approximate parametric Value-at-Risk
Year of publication: |
2013
|
---|---|
Authors: | Cui, Xueting ; Zhu, Shushang ; Sun, Xiaoling ; Li, Duan |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 37.2013, 6, p. 2124-2139
|
Publisher: |
Elsevier |
Subject: | Portfolio selection | Value-at-Risk | European option | Delta–Gamma approximation | Second-order cone programming |
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