Optimal quantile hedging under Markov regime switching
Donald Lien, Ziling Wang, Xiaojian Yu
| Year of publication: |
2021
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|---|---|
| Authors: | Lien, Da-hsiang Donald ; Wang, Ziling ; Yu, Xiaojian |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 60.2021, 5, p. 2177-2201
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| Subject: | Futures | Quantile hedging | Markov regime switching | Hedge ratio | Hedging | Markov-Kette | Markov chain | Theorie | Theory | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-020-01831-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012585550