Hedging crash risk in optimal portfolio selection
Shushang Zhu, Wei Zhu, Xi Pei, Xueting Cui
| Year of publication: |
2020
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|---|---|
| Authors: | Zhu, Shushang ; Zhu, Wei ; Pei, Xi ; Cui, Xueting |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 119.2020, p. 1-17
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| Subject: | Crash risk | Greeks | Hedged portfolio | Normal risk | Semidefinite programming | Portfolio-Management | Portfolio selection | Hedging | Theorie | Theory | Finanzkrise | Financial crisis | Risikomanagement | Risk management | Risiko | Risk | Risikomaß | Risk measure | Griechenland | Greece | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2020.105905 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012521210