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An algorithm for international portfolio selection and optimal currency hedging

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Minimum-cost portfolio insurance

Aliprantis, Charalambos D.; Brown, D. J.; Werner, Jan - 1999

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Portfolio insurance in complete markets : a note

Grossman, Sanford J. - In: The journal of business : B 62 (1989) 4, pp. 473-476

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Retirement saving with contribution payments and labor income as a benchmark for investments

Berkelaar, Arjan B.; Kouwenberg, Roy - 2000

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Optimal portfolio hedging with nonlinear derivatives and transactin costs

Keppo, Jussi - In: On arbitrage, optimal portfolio and equilibrium under …, (pp. 1-24). 1998

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Minimum-cost portfolio insurance

Aliprantis, Charalambos D.; Brown, D. J.; Werner, Jan - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1703-1719

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Retirement saving with contribution payments and labor income as a benchmark for investments

Berkelaar, Arjan B.; Kouwenberg, Roy - In: Journal of economic dynamics & control 27 (2003) 6, pp. 1069-1097

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On multiobjective combinatorial optimization and dynamic interim jedging of efficient portfolios

Dash, Gordon H.; Kajiji, Nina - In: International transactions in operational research : … 21 (2014) 6, pp. 899-918

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Modelling and management of longevity risk : approximations to survivor functions and dynamic hedging

Cairns, Andrew - 2011

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Mean-variance hedging via stochastic control and BSDEs for general semimartingales

Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - 2012 - This version: 4.6.2012

We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After … be used to describe the optimal trading strategy for each conditional mean-variance hedging problem. For comparison with …. mean-variance hedging ; stochastic control ; backward stochastic differential equations ; semimartingales ; mathematical …

Persistent link: https://www.econbiz.de/10009558490