Derivatives-based portfolio decisions : an expected utility insight
Marcos Escobar-Anel, Matt Davison, Yichen Zhu
| Year of publication: |
2022
|
|---|---|
| Authors: | Escobar, Marcos ; Davison, Matt ; Zhu, Yichen |
| Published in: |
Annals of finance. - Heidelberg : Springer, ISSN 1614-2454, ZDB-ID 2172262-6. - Vol. 18.2022, 2, p. 217-246
|
| Subject: | Black-Scholes pricing | Constant relative risk aversion (CRRA) utility | Expected utility theory | Optimal derivative choice | Erwartungsnutzen | Expected utility | Risikoaversion | Risk aversion | Theorie | Theory | Nutzen | Utility | Portfolio-Management | Portfolio selection | Derivat | Derivative | Entscheidung | Decision | Nutzenfunktion | Utility function | Entscheidung unter Risiko | Decision under risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10436-022-00409-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013278982