Good approximation of exponential utility function for optimal futures hedging
Xu Guo, Donald Lien, Wing-Keung Wong
| Year of publication: |
August 2016
|
|---|---|
| Authors: | Guo, Xu ; Lien, Da-hsiang Donald ; Wong, Wing Keung |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 3, p. 457-463
|
| Subject: | Exponential Utility Function | Optimal Production | Hedging | 2n-Order Approximation | Nutzenfunktion | Utility function | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2016.63036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011583581