Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset
Kexin Chen, Hoi Ying Wong
| Year of publication: |
2019
|
|---|---|
| Authors: | Chen, Kexin ; Wong, Hoi Ying |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 29.2019, p. 184-192
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| Subject: | Cointegration | Hedging | Liquidity | Mean-variance | Time-inconsistency | Theorie | Theory | Portfolio-Management | Portfolio selection | Kointegration | Zeitkonsistenz | Time consistency | Liquidität | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2018.07.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012418589