Ho, T. S.; Stapleton, Richard C.; Subrahmanyam, Marti G. - In: European Financial Management 1 (1995) 2, pp. 105-124
We consider portfolios whose returns depend on at least three variables and show the effect of the correlation structure on the probabilities of the extreme outcomes of the portfolio return, using a multivariate binomial approximation. the portfolio risk is then managed by using derivatives. We...
