Performance of a hedged stochastic portfolio model in the presence of extreme events

DOI10.1023/A:1011632311173zbMath1017.91038OpenAlexW1551302108MaRDI QIDQ5953182

Rosella Giacometti, Rosella Castellano

Publication date: 14 January 2002

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1011632311173

zbMATH Keywords

GARCHoptionstochastic portfolio selection

Mathematics Subject Classification ID

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