Hedging diffusion processes by local risk minimization with applications to index tracking

B-Tier

Journal: Journal of Economic Dynamics and Control

Year: 2007

Volume: 31

Issue: 7

Pages: 2135-2151

Authors (3)

Colwell, David (not in RePEc) El-Hassan, Nadima (University of Technology Sydne...) Kang Kwon, Oh (not in RePEc)

Score contribution per author:

0.673 = (α=2.02 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count