A robust hedging algorithm

DOI10.1016/S0165-1889(97)00017-1zbMath0901.90013MaRDI QIDQ1391666

M. A. Howe, Berc Rustem

Publication date: 22 July 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

minimaxnonsmooth optimizationhedgingtransaction costsfinance

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonsmooth analysis (49J52)

Related Items (11)

Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise ⋮ A robust hedging algorithm ⋮ Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises ⋮ Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions ⋮ Multiperiod mean-variance optimization with intertemporal restrictions ⋮ Robust portfolio selection using linear-matrix inequalities ⋮ A generalized multi-period mean-variance portfolio optimization with Markov switching parameters ⋮ Worst-case estimation for econometric models with unobservable components ⋮ Robust optimal decisions with imprecise forecasts ⋮ Unnamed Item ⋮ Robust min-max portfolio strategies for rival forecast and risk scenarios

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A constrained min-max algorithm for rival models of the same economic system
• Multi-period minimax hedging strategies
• A robust hedging algorithm
• A direct method of linearization for continuous minimax problems
• Minimax hedging strategy
• A New Method of Solving Nonlinear Simultaneous Equations
• A Family of Variable-Metric Methods Derived by Variational Means
• A new approach to variable metric algorithms
• Conditioning of Quasi-Newton Methods for Function Minimization

This page was built for publication: A robust hedging algorithm