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

DOI10.1007/s10287-021-00401-zOpenAlexW3160172233MaRDI QIDQ6166928

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

optionshedgingstochastic dominanceportfolio choicerisk management

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Risk assessment and risk management: review of recent advances on their foundation
• Efficient option risk measurement with reduced model risk
• Two-Sided Screening Procedures in the Bivariate Case
• Further tables of the studentized maximum modulus distribution
• Improved Portfolio Choice Using Second-Order Stochastic Dominance*
• Risk and Financial Management
• Testing for Restricted Stochastic Dominance
• Stochastic Dominance
• Performance of a hedged stochastic portfolio model in the presence of extreme events

This page was built for publication: The relative efficiency of option hedging strategies using the third-order stochastic dominance