Non-linear equity portfolio variance reduction under a mean-variance framework : a delta-gamma approach
Sean W. Jewell; Yang Li; Traian A. Pirvu
| Year of publication: |
2013
|
|---|---|
| Authors: | Jewell, Sean W. ; Li, Yang ; Pirvu, Traian A. |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 41.2013, 6, p. 694-700
|
| Subject: | Mean-variance | Portfolios of options | Quadratic programming | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Varianzanalyse | Analysis of variance |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010236034