Minimax hedging strategy

DOI10.1007/BF01299455MaRDI QIDQ1890890zbMATH OpenFDO

Authors M. A. Howe, M. J. P. Selby, Berç Rustem

Publication date 23 May 1995

Published in Computational Economics (Search for Journal in Brave)

zbMATH Keywords

simulationoptionsminimax strategydelta hedgingscenario analysisrobust risk management strategy

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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• Robust min-max portfolio strategies for rival forecast and risk scenarios
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• Robust portfolio optimization with derivative insurance guarantees
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• Robust optimal decisions with imprecise forecasts

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