On the Method of Optimal Portfolio Choice by Cost-Efficiency

DOI10.1080/1350486X.2016.1204238MaRDI QIDQ4682703zbMATH OpenOpenAlexFDO

Authors Ludger Rüschendorf, Viktor Wolf

Publication date 19 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2016.1204238

zbMATH Keywords

cost-efficiencyoptimal portfolioEsscher transformcost-efficient strategiesLévy modelsempirical pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1466110 (Why is no real title available?)
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• An explicit option-based strategy that outperforms dollar cost averaging
• Analysis of Fourier transform valuation formulas and applications
• Comparison of Markovian price processes and optimality of payoffs
• Cost-efficiency in multivariate Lévy models
• Financial Modelling with Jump Processes
• On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
• On the optimal risk allocation problem
• On the range of options prices
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• Optimality of payoffs in Lévy models
• Option Pricing With V. G. Martingale Components¹

Cited in

(7)

• Construction and hedging of optimal payoffs in Lévy models
• Cost-efficiency in multivariate Lévy models
• On the optimal investment
• Comparison of Markovian price processes and optimality of payoffs
• A Neyman-Pearson problem with ambiguity and nonlinear pricing
• Cost-efficient payoffs under model ambiguity
• Optimality of payoffs in Lévy models

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