Monte-Carlo Estimations of the Downside Risk of Derivative Portfolios
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- Leoni, Patrick L., 2009. "Downside risk of derivative portfolios with mean-reverting underlyings," Discussion Papers of Business and Economics 2/2009, University of Southern Denmark, Department of Business and Economics.
More about this item
Keywords: Derivatives; Portfolio management; Benchmarking; Downside risk; Monte-Carlo simulations.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-09 (All new papers)
- NEP-CMP-2007-09-09 (Computational Economics)
- NEP-FMK-2007-09-09 (Financial Markets)
- NEP-RMG-2007-09-09 (Risk Management)
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