The duality of option investment strategies for hedge funds
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Publication:2476989
DOI10.1007/S10107-007-0198-1zbMATH Open1138.91475OpenAlexW1972104494MaRDI QIDQ2476989FDOQ2476989
Authors: José R. Rodríguez-Mancilla, William T. Ziemba 
Publication date: 12 March 2008
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/8953
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- Duality and martingales: a stochastic programming perspective on contingent claims
- Optimality conditions in portfolio analysis with general deviation measures
- Formulation of the Russell-Yasuda Kasai financial planning model
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Cited In (5)
- On optimal partial hedging in discrete markets
- Living on the edge: how risky is it to operate at the limit of the tolerated risk?
- The relative efficiency of option hedging strategies using the third-order stochastic dominance
- Optimal strategy for a fund manager with option compensation
- Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
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