Optimal partial hedging in a discrete-time market as a Knapsack problem

DOI10.1007/s00186-010-0327-0zbMath1203.93213arXiv0910.5101OpenAlexW2058098030MaRDI QIDQ607677

Peter Lindberg

Publication date: 3 December 2010

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.5101

zbMATH Keywords

greedy algorithmKnapsack problemquantile hedgingefficient hedgingbinomial model

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items

Optimal partial hedging of an American option: shifting the focus to the expiration date ⋮ On optimal partial hedging in discrete markets ⋮ Partial hedging and cash requirements in discrete time

Uses Software

• Knapsack

Cites Work

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