A NEW COMPUTATIONAL METHOD FOR FINDING THE CHEAPEST HEDGE

Facta Universitatis. Series Mathematics and Informatics

Vasilios N. Katsikis¹ 

关键词: Portfolio dominance;    Portfolio optimization;   

DOI  :  

学科分类：社会科学、人文和艺术（综合）

来源: Univerzitet u Nishu / University of Nis

【 摘 要 】

In this article, we investigate the computational efficiency of an order theoretic approach applied to the problem of finding the cheapest hedge under portfolio constraints. In particular, we design a new computational method for computing the cheapest hedge and we discuss advantages of this method compared to the standard linear programming techniques. Numerical results as well as a new Matlab function for computing the cheapest hedge are provided.

【 授权许可】

Unknown