We propose a new methodology for discrete time dynamic hedging with transaction costs that has three key performance features. First, the methodology can accommodate the use of a wide range of objective functions, from the use of many types of utility functions to the more traditional objectives...

Operations and Supply Chains is the current title for a department that has evolved through several different titles in recent years, reflecting its evolving mission from a focus on classical operations research at the time of ORSA's founding 50 years ago toward an embrace of a broader body of...