Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming (Q2440802)
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scientific article; zbMATH DE number 6271422
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| English | Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming |
scientific article; zbMATH DE number 6271422 |
Statements
Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming (English)
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19 March 2014
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contingent claim
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pricing
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hedging
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Sharpe ratio
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martingales
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transaction costs
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convex programming
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0.9151624
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0.8997745
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0.89070183
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0.88766205
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