Options strategies with the risk adjustment

DOI10.1016/j.ejor.2007.10.010zbMath1157.90481OpenAlexW2080590721MaRDI QIDQ1011243

Pei-Wang Gao

Publication date: 8 April 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.10.010

zbMATH Keywords

optionsportfoliolinear programmingrisk

Mathematics Subject Classification ID

Linear programming (90C05)

Related Items

Options strategies for international portfolios with overall risk management via multi-stage stochastic programming

Uses Software

• DerivaGem

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• An efficient bound-and-stopped algorithm for integer linear programs on the objective function hyperplane
• Optimal control of option portfolios and applications
• Option strategies with linear programming
• The Mathematics of Financial Derivatives
• A stochastic programming model for currency option hedging