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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2020
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| Materias: | |
| 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 |