Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach (Q2450760)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach |
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Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach (English)
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15 May 2014
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mean-variance
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portfolios of options
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quadratic programming
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