Vector majorization and a robust option replacement trading strategy

DOI10.1007/S11228-008-0079-7MaRDI QIDQ931422zbMATH OpenOpenAlexFDO

Authors Qiji J. Zhu

Publication date 25 June 2008

Published in Set-Valued Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11228-008-0079-7

zbMATH Keywords

convex optimizationstabilitymajorizationrobust option trading strategy

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Convex functions and convex programs in convex geometry (52A41)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 967931 (Why is no real title available?)
• A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
• An example of indifference prices under exponential preferences
• Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Majorization, doubly stochastic matrices, and comparison of eigenvalues
• Mathematical analysis of investment systems
• Optimal Investments for Robust Utility Functionals in Complete Market Models
• Optimal investment in derivative securities
• Optimal investment with derivative securities
• Option pricing: A simplified approach
• Pricing via utility maximization and entropy.
• The pricing of options and corporate liabilities

Cited in

(1)

• Convex analysis in financial mathematics

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