Optimal strategies with option compensation under mean reverting returns or volatilities
Stefano Herzel, Marco Nicolosi
| Year of publication: |
2019
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|---|---|
| Authors: | Herzel, Stefano ; Nicolosi, Marco |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 16.2019, 1/2, p. 47-69
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| Subject: | Investment analysis | Portfolio management | Convex incentives | Optimal control | Fourier transform | Mean reverting processes | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Theorie | Theory | Mean Reversion | Mean reversion | Kapitaleinkommen | Capital income | Finanzanalyse | Financial analysis | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal ; Konferenzbeitrag ; Conference paper |
| Language: | English |
| Other identifiers: | 10.1007/s10287-017-0296-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011993415