Hedging crash risk in optimal portfolio selection

When almost all underlying assets suddenly lose a certain part of their nominal value in a market crash, the diversification effect of portfolios in a normal market condition no longer works. We integrate the crash risk into portfolio management and investigate performance measures, hedging and opti...

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Detalles Bibliográficos
Autores principales: Zhu, Shushang, Zhu, Wei, Pei, Xi, Cui, Xueting
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7386296/
https://www.ncbi.nlm.nih.gov/pubmed/32834433
http://dx.doi.org/10.1016/j.jbankfin.2020.105905

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7386296/
https://www.ncbi.nlm.nih.gov/pubmed/32834433
http://dx.doi.org/10.1016/j.jbankfin.2020.105905

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