Optimal derivative liquidation timing under path-dependent risk penalties
Tim Leung and Yoshihiro Shirai
| Year of publication: |
2015
|
|---|---|
| Authors: | Leung, Tim ; Shirai, Yoshihiro |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 2.2015, 1, p. 1-32
|
| Subject: | Risk penalty | optimal liquidation | variational inequality | shortfall | Theorie | Theory | Derivat | Derivative | Risiko | Risk | Portfolio-Management | Portfolio selection | Liquidität | Liquidity | Risikomanagement | Risk management | Zeit | Time | Strafe | Punishment | Risikomaß | Risk measure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010528389