A robust hedging algorithm

DOI10.1016/S0165-1889(97)00017-1zbMath0901.90013MaRDI QIDQ1391666

M. A. Howe, Berc Rustem

Publication date: 22 July 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

minimaxnonsmooth optimizationhedgingtransaction costsfinance

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonsmooth analysis (49J52)

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 ⋮ Worst-case estimation for econometric models with unobservable components ⋮ Robust optimal decisions with imprecise forecasts ⋮ Unnamed Item ⋮ Robust min-max portfolio strategies for rival forecast and risk scenarios

Cites Work

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