scientific article; zbMATH DE number 2065132

zbMATH Open1069.91056MaRDI QIDQ4459795FDOQ4459795

Authors: Domenico Mignacca, Attilio Meucci 

Publication date: 18 May 2004

Title of this publication is not available (Why is that?)

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zbMATH Keywords

constant hedging benchmarkone-period mean-variance optimization

Mathematics Subject Classification ID

Cited In (5)

• In search of robust methods for multi-currency portfolio construction by value at risk
• The zero-capital approach to portfolio enhancement and overlay management
• Trend-following hedge funds and multi-period asset allocation
• Dynamic currency hedging with non-Gaussianity and ambiguity
• On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios

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