Dynamic derivative strategies

Journal of Financial Economics

Volumn 69, Issue 3, 2003, Pages 401-430

  Liu, Jun ^a   Pan, Jun ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Asset allocation; Derivatives; Jumps; Portfolio selection; Stochastic volatility

Indexed keywords

EID: 0043014596     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(03)00118-1     Document Type: Article

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