A robust hedging algorithm

DOI10.1016/S0165-1889(97)00017-1MaRDI QIDQ1391666zbMATH OpenFDO

Authors M. A. Howe, Berç Rustem

Publication date 22 July 1998

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1889(97)00017-1

zbMATH Keywords

financehedgingminimaxnonsmooth optimizationtransaction costs

Mathematics Subject Classification ID

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

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Cites work

• A constrained min-max algorithm for rival models of the same economic system
• A direct method of linearization for continuous minimax problems
• A Family of Variable-Metric Methods Derived by Variational Means
• A new approach to variable metric algorithms
• A New Method of Solving Nonlinear Simultaneous Equations
• A robust hedging algorithm
• Conditioning of Quasi-Newton Methods for Function Minimization
• scientific article; zbMATH DE number 3793788 (Why is no real title available?)
• Minimax hedging strategy
• Multi-period minimax hedging strategies
• The pricing of options and corporate liabilities

Cited in

(18)

• 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
• Multi-period minimax hedging strategies
• A robust hedging algorithm
• Robust min-max portfolio strategies for rival forecast and risk scenarios
• Minimax hedging strategy
• 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
• A numerical method for hedging Bermudan options under model uncertainty
• Multiperiod mean-variance optimization with intertemporal restrictions
• scientific article; zbMATH DE number 5997411 (Why is no real title available?)
• Robust One-Period Option Hedging
• scientific article; zbMATH DE number 1834580 (Why is no real title available?)
• scientific article; zbMATH DE number 6750138 (Why is no real title available?)
• Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise
• Performance of hedging strategies in interval models.
• Robust portfolio selection using linear-matrix inequalities

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