Nonlinear portfolio selection using approximate parametric Value-at-RiskOriginal
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 |
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