Performance of tail hedged portfolio with third moment variation swap
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
|
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 | Volatilität | Volatility |
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