Derivatives in Portfolio Optimization with Affine GARCH Models
The article indicates that investors who include a derivative in their portfolio perform better than those who only invest in stocks and bank accounts, potentially avoiding up to 7% annual losses.
Featured in No. 57 on 17 Jul 2024 · on release day
- Released
- 17 Jul 2024
- First featured
- No. 57 · 17 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 11
- Identifier
- RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-024-00433-5
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).