Performance of tail hedged portfolio with third moment variation swap
Kyungsub Lee, Byoung Ki Seo
| Year of publication: |
October 2017
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|---|---|
| Authors: | Lee, Kyungsub ; Seo, Byoung Ki |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 50.2017, 3, p. 447-471
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| Subject: | Financial return | Skewness | Fat tail risk hedge | Moment variation swap | Quadratic variation method | Hedging | Statistische Verteilung | Statistical distribution | Swap | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Theorie | Theory | Risikomaß | Risk measure | Volatilität | Volatility | Momentenmethode | Method of moments |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-016-9593-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011783329