Constructing equity market-neutral VIX portfolios with dynamic CAPM
Year of publication: |
2016
|
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Authors: | Chen, Jiaqi ; Tindall, Michael L. |
Published in: |
The journal of alternative investments. - New York, NY : Pageant Media Ltd., ISSN 1520-3255, ZDB-ID 2049760-X. - Vol. 19.2016, 2, p. 70-87
|
Subject: | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Korrelation | Correlation | Volatilität | Volatility | Derivat | Derivative | Risiko-Ertrags-Verhältnis | Risk-return tradeoff |
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