The relative efficiency of option hedging strategies using the third-order stochastic dominance

DOI10.1007/S10287-021-00401-ZMaRDI QIDQ6166928zbMATH OpenOpenAlexFDO

Authors Margareta Gardijan Kedžo, Boško Šego

Publication date 4 August 2023

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-021-00401-z

zbMATH Keywords

optionsstochastic dominanceportfolio choicerisk managementhedging

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Recommendations

• The duality of option investment strategies for hedge funds
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Cites work

• scientific article; zbMATH DE number 3069611 (Why is no real title available?)
• Efficient option risk measurement with reduced model risk
• Further tables of the studentized maximum modulus distribution
• Improved Portfolio Choice Using Second-Order Stochastic Dominance*
• Mathematics and statistics for financial risk management
• Performance of a hedged stochastic portfolio model in the presence of extreme events
• Risk and Financial Management
• Risk assessment and risk management: review of recent advances on their foundation
• Stochastic Dominance
• Testing for restricted stochastic dominance
• The pricing of options and corporate liabilities
• Two-Sided Screening Procedures in the Bivariate Case

Cited in

(2)

• Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint
• Carbon risk hedging: reducing portfolio carbon risk using a beta hedge ratio

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