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Dynamic programming and mean-variance hedging

Laurent, Jean Paul; Pham, Huyên - In: Finance and stochastics 3 (1999) 1, pp. 83-110

Persistent link: https://www.econbiz.de/10001367656

Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10012798787

Portfolio optimization in DC pension scheme with unhedgeable stochastic wage

Menoncin, Francesco; Vigna, Elena - 2025

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An approximate solution for optimal portfolio in incomplete markets

Menoncin, Francesco - In: Mathematical control theory and finance, (pp. 293-310). 2008

Persistent link: https://www.econbiz.de/10003755883

Optimal dynamic asset allocation of pension fund in mortality and salary risks framework

Liang, Zongxia; Ma, Ming - In: Insurance / Mathematics & economics 64 (2015), pp. 151-161

Persistent link: https://www.econbiz.de/10011397973

Non-concave utility maximisation on the positive real axis in discrete time

Carassus, Laurence; Rásonyi, Miklós; Rodrigues, Andrea M. - In: Mathematics and financial economics 9 (2015) 4, pp. 325-349

Persistent link: https://www.econbiz.de/10011378104

Dynamic asset allocation with relative wealth concerns in incomplete markets

Kraft, Holger; Meyer-Wehmann, André; Seifried, Frank Thomas - In: Journal of economic dynamics & control 113 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012502492

Global hedging through post-decision state variables

Breton, Michèle; Godin, Frédéric - In: Journal of risk and financial management : JRFM 10 (2017) 3, pp. 1-6

Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal … criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at … maturity or exercise. Global hedging methods in discrete time can be implemented using dynamic programming. They provide …

Persistent link: https://www.econbiz.de/10011712512

Benchmarked risk minimization

Du, Ke; Platen, Eckhard - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 617-637

Persistent link: https://www.econbiz.de/10011583786

Interest rate risk management and dynamic portfolio selections

Sun, Hang; Sun, Wan Gui - In: Modern economy 2 (2011) 4, pp. 674-679

Persistent link: https://www.econbiz.de/10009620650