An Optimization of the Risk Management using Derivatives
This article aims to provide a process that can be used in financial risk management by resolving problems of minimizing the risk measure (VaR) using derivatives products, bonds and options. This optimization problem was formulated in the hedging situation of a portfolio formed by an active and a pu...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2011-07-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/614.pdf
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