Vector Optimization Approach For Pricing And Hedging In Imperfect Markets

DOI10.1080/03155986.2004.11732704OpenAlexW2394993096MaRDI QIDQ6039371

Alejandro Balbas, Silvia Mayoral

Publication date: 5 May 2023

Published in: INFOR: Information Systems and Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03155986.2004.11732704

zbMATH Keywords

vector optimizationefficient portfoliospread reductionpseudo-arbitrage

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (1)

Nonconvex optimization for pricing and hedging in imperfect markets

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