Multi-period minimax hedging strategies

DOI10.1016/0377-2217(95)00167-0zbMath0912.90023OpenAlexW2010680506MaRDI QIDQ1268215

M. A. Howe, M. J. P. Selby, Berc Rustem

Publication date: 18 October 1998

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

Full work available at URL: https://doi.org/10.1016/0377-2217(95)00167-0

zbMATH Keywords

nonsmooth optimizationsimulationoption pricingtransaction costsminimax strategytwo-period settingworst-case potential hedging error

Mathematics Subject Classification ID

Related Items

Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise ⋮ A robust hedging algorithm ⋮ Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises ⋮ Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions ⋮ Multiperiod mean-variance optimization with intertemporal restrictions ⋮ Robust portfolio selection using linear-matrix inequalities ⋮ A generalized multi-period mean-variance portfolio optimization with Markov switching parameters ⋮ Robust min-max portfolio strategies for rival forecast and risk scenarios

Cites Work

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