Non-linear equity portfolio variance reduction under a mean–variance framework—A delta–gamma approach
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Overview
status
publication date
- November 2013
has subject area
- 0102 Applied Mathematics (FoR)
- 0103 Numerical and Computational Mathematics (FoR)
- 1503 Business and Management (FoR)
- Operations Research (Science Metrix)
published in
- Operations Research Letters Journal