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)

zbMATH Keywords

financeminimaxnonsmooth optimizationtransaction costshedging

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(17)

• Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions
• Multiperiod mean-variance optimization with intertemporal restrictions
• 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
• Robust One-Period Option Hedging
• Robust portfolio selection using linear-matrix inequalities
• Robust min-max portfolio strategies for rival forecast and risk scenarios
• scientific article; zbMATH DE number 5997411 (Why is no real title available?)
• A numerical method for hedging Bermudan options under model uncertainty
• scientific article; zbMATH DE number 1834580 (Why is no real title available?)
• Robust optimal decisions with imprecise forecasts
• Worst-case estimation for econometric models with unobservable components
• A robust hedging algorithm
• Minimax hedging strategy
• Performance of hedging strategies in interval models.
• A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
• Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises

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