Hedging without sweat: a genetic programming approach
Hedging in the presence of transaction costs leads to complex optimization problems. These problems typically lack closed-form solutions, and their implementation relies on numerical methods that provide hedging strategies for specific parameter values. In this paper we use a genetic programming algorithm to derive explicit formulas for near-optimal hedging strategies under nonlinear transaction costs. The strategies are valid over a large range of parameter values and require no information about the structure of the optimal hedging strategy.
Year of publication: |
2013-05
|
---|---|
Authors: | Lensberg, Terje ; Klaus Reiner Schenk-Hopp\'e |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
The double monopoly has no Nash equilibrium
Böhm, Volker, (1991)
-
Lensberg, Terje, (1988)
-
Unemployment and inflation in a perfect equilibrium
Lensberg, Terje, (1988)
- More ...