Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication

DOI10.1080/14697688.2013.779014zbMath1284.91532OpenAlexW3121721126MaRDI QIDQ2871408

Kyo Yamamoto, Akihiko Takahashi

Publication date: 23 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf624.pdf

zbMATH Keywords

portfolio optimizationhedge fundsinvestment strategyalternative investments

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Optimal payoffs under state-dependent preferences ⋮ On the Optimal Investment ⋮ Cost-efficiency in multivariate Lévy models

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• An asymptotic expansion scheme for optimal investment problems
• Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework

This page was built for publication: Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication