Optimal hedging with basis risk under mean-variance criterion
Jingong Zhang, Ken Seng Tan, Chengguo Weng
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Zhang, Jingong ; Ken Seng Tan ; Weng, Chengguo |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 75.2017, p. 1-15
|
| Subject: | Basis risk | Optimal hedging | Time consistent planning | Mean-variance | European options | Hedging | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Optionsgeschäft | Option trading | Entscheidung unter Risiko | Decision under risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.03.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011740687