Showing 1 - 10 of 20,467
Persistent link: https://www.econbiz.de/10000653853
Persistent link: https://www.econbiz.de/10010511321
Persistent link: https://www.econbiz.de/10011301963
Persistent link: https://www.econbiz.de/10010463008
Persistent link: https://www.econbiz.de/10001128107
This article introduces an algorithm for tail risk hedging and compares it to other existing methods. This algorithm … adjusts the exposure level based on a measure of tail risk obtained by applying Extreme Value Theory (EVT) to estimate … 2015 and its performance is compared to cash and options based tail hedging strategies. The cash based methods are shown to …
Persistent link: https://www.econbiz.de/10012938485
Persistent link: https://www.econbiz.de/10011807801
Persistent link: https://www.econbiz.de/10013417978
Persistent link: https://www.econbiz.de/10015078623
Persistent link: https://www.econbiz.de/10000412300