Dynamic hedging model of conditional value at risk with options. Issue 4 (3rd July 2016)
- Record Type:
- Journal Article
- Title:
- Dynamic hedging model of conditional value at risk with options. Issue 4 (3rd July 2016)
- Main Title:
- Dynamic hedging model of conditional value at risk with options
- Authors:
- Yu, Xing
- Abstract:
- Abstract: This paper deals with a hedging model in which the methodologies of one-step sliding prediction for variance, MOEAD for multi-objectives optimization are used for the minimization of the conditional value at risk and the cost, maximization of the terminal wealth simultaneously of hedging with options.
- Is Part Of:
- Journal of interdisciplinary mathematics. Volume 19:Issue 4(2016)
- Journal:
- Journal of interdisciplinary mathematics
- Issue:
- Volume 19:Issue 4(2016)
- Issue Display:
- Volume 19, Issue 4 (2016)
- Year:
- 2016
- Volume:
- 19
- Issue:
- 4
- Issue Sort Value:
- 2016-0019-0004-0000
- Page Start:
- 785
- Page End:
- 797
- Publication Date:
- 2016-07-03
- Subjects:
- Conditional Value at Risk -- Dynamic Hedging -- One-step sliding prediction -- MOEAD
Mathematics -- Periodicals
Mathematics
Periodicals
510.5 - Journal URLs:
- http://www.iospress.nl/html/09720502.php ↗
http://www.tandfonline.com/loi/tjim20 ↗ - DOI:
- 10.1080/09720502.2016.1197575 ↗
- Languages:
- English
- ISSNs:
- 0972-0502
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 36.xml