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An R-Based Landscape Validation of a Competing Risk Model
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An R-Based Landscape Validation of a Competing Risk Model

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Hedging crash risk in optimal portfolio selection

Shushang Zhu1, Wei Zhu1, Xi Pei2

  • 1Department of Finance and Investment, Sun Yat-Sen Business School, Sun Yat-Sen University, Guangzhou 510275, China.

Journal of Banking & Finance
|August 25, 2020
PubMed

Keywords:
Crash riskGreeksHedged portfolioNormal riskSemidefinite programming

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