Can expected shortfall and Value-at-Risk be used to statically hedge options?
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Publication:3577146
DOI10.1080/14697680902956695zbMath1194.91199OpenAlexW2040562241MaRDI QIDQ3577146
Jonathan Finley, Tak Kuen Siu, Qiang Zhang
Publication date: 5 August 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680902956695
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
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