Variance minimizing strategies for stochastic processes with applications to tracking stock indices-Reference-Cited by-同舟云学术

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Variance minimizing strategies for stochastic processes with applications to tracking stock indices

Published:2019-10-31 Issue:2 Volume:21 Page:430-446
ISSN:1369-412X
Container-title:International Review of Finance
language:en
Short-container-title:International Review of Finance

Author:

Colwell David B.¹,El‐Hassan Nadima²,Kwon Oh Kang³^ORCID

Affiliation:

1. School of Banking and Finance, Australian School of Business University of New South Wales Kensington New South Wales Australia

2. School of Mathematical and Physical Sciences University of Technology Sydney Broadway New South Wales Australia

3. Discipline of Finance The University of Sydney Sydney New South Wales Australia

Publisher

Wiley

Subject

Economics and Econometrics,Finance

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/irfi.12285

Reference30 articles.

1. Local risk-minimization for Lévy markets

2. Local Risk-Minimization for Defaultable Claims with Recovery Process

3. Mean-Variance Hedging for Stochastic Volatility Models

4. MINIMAL VARIANCE HEDGING FOR INSIDER TRADING

5. MEANVARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. When trackers are aware of ESG: Do ESG ratings matter to tracking error portfolio performance?;Economic Modelling;2023-08

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