Hedging crash risk in optimal portfolio selection
نویسندگان
چکیده
منابع مشابه
Crash Hedging Strategies and Worst–Case Scenario Portfolio Optimization
Crash hedging strategies are derived as solutions of non–linear differential equations which itself are consequences of an equilibrium strategy which make the investor indifferent to uncertain (down) jumps. This is done in the situation where the investor has a logarithmic utility and where the market coefficients after a possible crash may change. It is scrutinized when and in which sense the ...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2020
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2020.105905