Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach
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Publication:2450760
DOI10.1016/j.orl.2013.09.013zbMath1287.91134OpenAlexW2044933547MaRDI QIDQ2450760
Publication date: 15 May 2014
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2013.09.013
Quadratic programming (90C20) Financial applications of other theories (91G80) Portfolio theory (91G10)
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