Hedging global environment risks: an option based portfolio insurance

DOI10.1016/j.automatica.2008.02.002zbMath1283.93261OpenAlexW1981567886MaRDI QIDQ2440762

André de Palma, Jean-Luc Prigent

Publication date: 19 March 2014

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: http://thema.u-cergy.fr/IMG/documents/2007-09.pdf

zbMATH Keywords

hedgingutility maximizationmartingale theoryenvironmental asset

Mathematics Subject Classification ID

Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Stochastic systems in control theory (general) (93E03) Portfolio theory (91G10)

Related Items (2)

Equilibrium multi-agent model with heterogeneous views on fundamental risks ⋮ Multistage portfolio optimization with stocks and options

Cites Work

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• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Theory of constant proportion portfolio insurance
• A stochastic control model of economic growth with environmental disaster prevention
• Portfolio Optimization and Performance Analysis
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Optimal positioning in derivative securities
• An equilibrium characterization of the term structure

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