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Dynamic options hedging model under mark-to-market risk
Shi, Dongwei; Li, Yanyin; Yu, Xing - In: International journal of information technology and … 23 (2024) 2, pp. 137-155
Persistent link: https://www.econbiz.de/10015064850
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A risk index model for uncertain portfolio selection with background risk
Huang, Xiaoxia; Jiang, Guowei; Gupta, Pankaj; Mehlawat, … - In: Computers & operations research : and their … 132 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012595736
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Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551
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Optimal Dynamic Hedging via Copula-Threshold-GARCH Models
Lai, YiHao - 2009
. Secondly, we employ the presenting models to investigate the hedging performance for five East Asian spot and futures stock … markets: Hong Kong, Japan, Korea, Singapore and Taiwan. Compared with conventional hedging strategies, including Engle … returns on a hedging portfolio over the sample period …
Persistent link: https://www.econbiz.de/10013159444
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Optimal liquidation of financial derivatives
Chen, Jingnan - In: Finance research letters 34 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012436500
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Algorithms for portfolio optimization and portfolio insurance
Rudolf, Markus - 1994
Persistent link: https://www.econbiz.de/10012317467
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A dynamic stochastic programming model of crop rotation choice to test the adoption of long rotation under price and production risks
Ridier, Aude; Chaib, Karim; Roussy, Caroline - In: European journal of operational research : EJOR 252 (2016) 1, pp. 270-279
Persistent link: https://www.econbiz.de/10011449485
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Robust optimization for lot-sizing problems under yield uncertainty
Metzker, Paula; Thevenin, Simon; Adulyasak, Yossiri; … - 2021
Persistent link: https://www.econbiz.de/10012667241
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Review of mathematical models for production planning under uncertainty due to lack of homogeneity : proposal of a conceptual model
Mundi, Isabel; Alemany, M. M. E.; Poler, Raul; … - In: International journal of production research 57 (2019) 15/16, pp. 5239-5283
Persistent link: https://www.econbiz.de/10012193548
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Robust optimization for lot-sizing problems under yield uncertainty
Metzker, Paula; Thevenin, Simon; Adulyasak, Yossiri; … - In: Computers & operations research : and their … 149 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10013460773