Systemic risk of optioned portfolio: controllability and optimization
From MaRDI portal
Publication:6094474
DOI10.1016/j.jedc.2023.104701arXiv2209.04685MaRDI QIDQ6094474
Xiaochuan Pang, Xueting Cui, Jiali Ma, Shu-Shang Zhu
Publication date: 14 September 2023
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2209.04685
Statistical methods; risk measures (91G70) Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)
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