Volatility versus downside risk : performance protection in dynamic portfolio strategies
Diana Barro, Elio Canestrelli, Giorgio Consigli
| Year of publication: |
2019
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|---|---|
| Authors: | Barro, Diana ; Canestrelli, Elio ; Consigli, Giorgio |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 16.2019, 3, p. 433-479
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| Subject: | Volatility | Tail risk | Mean absolute deviation | Derivatives payoffs | Risk management | Hedging | Stochastic programming | Volatilität | Risikomanagement | Portfolio-Management | Portfolio selection | Derivat | Derivative | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-018-0310-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012053148