Dynamic hedging in incomplete markets using risk measures
Patrice Gaillardetz and Saeb Hachem
| Year of publication: |
2022
|
|---|---|
| Authors: | Gaillardetz, Patrice ; Hachem, Saeb |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 33.2022, 2, p. 345-367
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| Subject: | partial hedging | local risk-minimizing strategies | stochastic dynamic programming | linear programming | parametric linear programming | risk measures | Hedging | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Unvollkommener Markt | Incomplete market | Risikomaß | Risk measure | Dynamische Optimierung | Dynamic programming | Risiko | Risk | Risikomanagement | Risk management | Messung | Measurement | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpab017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012798787