Multi-period minimax hedging strategies

DOI10.1016/0377-2217(95)00167-0zbMath0912.90023MaRDI QIDQ1268215

Berc Rustem, M. A. Howe, M. J. P. Selby

Publication date: 18 October 1998

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(95)00167-0

zbMATH Keywords

nonsmooth optimization; simulation; option pricing; transaction costs; minimax strategy; two-period setting; worst-case potential hedging error

Mathematics Subject Classification ID

Related Items

Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise, Robust portfolio selection using linear-matrix inequalities, A generalized multi-period mean-variance portfolio optimization with Markov switching parameters, A robust hedging algorithm, Robust min-max portfolio strategies for rival forecast and risk scenarios, 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, Multiperiod mean-variance optimization with intertemporal restrictions

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