The cheapest hedge.

DOI10.1016/S0304-4068(02)00034-4zbMath1046.91054OpenAlexW2150422800MaRDI QIDQ1864980

Ioannis A. Polyrakis, Charalambos D. Aliprantis, Rabee Tourky

Publication date: 23 March 2003

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4068(02)00034-4

zbMATH Keywords

convex coneshedgingportfolio insuranceordered vector spacesportfolio dominancesuper-replicating portfolio

Mathematics Subject Classification ID

Related Items (8)

Riesz estimators ⋮ Computational methods in portfolio insurance ⋮ Computation of vector sublattices and minimal lattice-subspaces of \(\mathbb R^k\): applications in finance ⋮ Computational methods in lattice-subspaces of \(C[a,b\) with applications in portfolio insurance] ⋮ Risk management strategies via minimax portfolio optimization ⋮ Linear Optimization in C (Ω) and Portfolio Insurance ⋮ A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of \(\mathbb R^n\): applications in portfolio insurance ⋮ A Discrete-Time Model for Reinvestment Risk in Bond Markets

Cites Work

• Extremal structure of convex sets
• Spanning and completeness in markets with contingent claims
• Spanning, valuation and options
• Hedging American contingent claims with constrained portfolios
• Minimum-cost portfolio insurance
• Markets that don't replicate any option.
• On the pricing of contingent claims under constraints
• Ordered linear spaces
• The super order dual of an ordered vector space and the Riesz–Kantorovich formula
• Options and Efficiency

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