On optimal partial hedging in discrete markets

DOI10.1080/02331934.2013.854784zbMath1283.91169OpenAlexW2048886468MaRDI QIDQ5746723

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Publication date: 7 February 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2013.854784

zbMATH Keywords

linear programmingdynamic programmingscenario treequantile hedgingarbitrage-free marketsrisk of shortfall

Mathematics Subject Classification ID

Quadratic programming (90C20) Optimality conditions and duality in mathematical programming (90C46) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (3)

Optimization Methods in Mathematical Finance ⋮ Bilevel Optimization: Theory, Algorithms, Applications and a Bibliography ⋮ Partial hedging of American claims in a discrete market

Cites Work

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• Optimal partial hedging in a discrete-time market as a Knapsack problem
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Duality and martingales: a stochastic programming perspective on contingent claims
• The duality of option investment strategies for hedge funds
• Financial Mathematics
• The Simplex Method for Quadratic Programming
• Pricing American contingent claims by stochastic linear programming
• CALIBRATED OPTION BOUNDS

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