Robust hedging strategies
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Publication:1761191
DOI10.1016/j.cor.2011.12.021zbMath1251.91075OpenAlexW2060920480MaRDI QIDQ1761191
Raquel J. Fonseca, Berc Rustem
Publication date: 15 November 2012
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2011.12.021
Nonconvex programming, global optimization (90C26) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items (3)
Robust portfolio optimization: a categorized bibliographic review ⋮ Recent advancements in robust optimization for investment management ⋮ Multistage portfolio optimization with stocks and options
Uses Software
Cites Work
- Solving semidefinite-quadratic-linear programs using SDPT3
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- SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
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