"Non-linear equity portfolio variance reduction under a mean-variance ..."

Sean W. Jewell, Yang Li, Traian A. Pirvu (2013)

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DOI: 10.1016/J.ORL.2013.09.013

access: closed

type: Journal Article

metadata version: 2018-11-30

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Sean W. Jewell, Yang Li, Traian A. Pirvu:
Non-linear equity portfolio variance reduction under a mean-variance framework - A delta-gamma approach. Oper. Res. Lett. 41(6): 694-700 (2013)

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