Optimal Positioning in Financial Derivatives under Mixture Distributions

R. Hentati-Kaffel and Jean-Luc Prigent
Authors registered in the RePEc Author Service: Rania HENTATI-KAFFEL

No 2014-347, Working Papers from Department of Research, Ipag Business School

Abstract: In this paper, we study and extend the optimal portfolio positioning

Keywords: Portfolio optimization; Mixture distributions; Ambiguity. (search for similar items in EconPapers)
JEL-codes: C61 G02 G11 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2014-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Optimal positioning in financial derivatives under mixture distributions (2016)
Working Paper: Optimal positioning in financial derivatives under mixture distributions (2016)
Working Paper: Optimal positioning in financial derivatives under mixture distributions (2016)
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