Hedging with options and cardinality constraints in multi‐period portfolio management systems

DOI10.1108/03684921111142269zbMath1511.91152OpenAlexW1985058999MaRDI QIDQ6163343

Ralf Oestermark

Publication date: 9 June 2023

Published in: Kybernetes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/03684921111142269

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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