Nonlinear portfolio selection using approximate parametric Value-at-RiskOriginal
Xueting Cui; Shushang Zhu; Xiaoling Sun; Duan Li
| Year of publication: |
2013
|
|---|---|
| Authors: | Cui, Xueting ; Zhu, Shushang ; Sun, Xiaoling ; Li, Duan |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 6, p. 2124-2139
|
| Subject: | Portfolio selection | Value-at-Risk | European option | Delta-Gamma approximation | Second-order cone programming | Portfolio-Management | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| 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/10009742471