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Multi-period minimax hedging strategies

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  • Howe, M. A.
  • Rustem, B.
  • Selby, M. J. P.
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    Abstract

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    File URL: http://www.sciencedirect.com/science/article/B6VCT-3VW8NVK-2B/2/38cfec2793583eeae234455a71b9473f
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    Bibliographic Info

    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 93 (1996)
    Issue (Month): 1 (August)
    Pages: 185-204

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    Handle: RePEc:eee:ejores:v:93:y:1996:i:1:p:185-204

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    Web page: http://www.elsevier.com/locate/eor

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Hayne E. Leland., 1984. "Option Pricing and Replication with Transactions Costs," Research Program in Finance Working Papers 144, University of California at Berkeley.
    2. Boyle, Phelim P. & Emanuel, David, 1980. "Discretely adjusted option hedges," Journal of Financial Economics, Elsevier, vol. 8(3), pages 259-282, September.
    3. Gilster, John E, Jr & Lee, William, 1984. " The Effects of Transaction Costs and Different Borrowing and Lending Rates on the Option Pricing Model: A Note," Journal of Finance, American Finance Association, vol. 39(4), pages 1215-21, September.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    5. Howe, M A & Rustem, B & Selby, M J P, 1994. "Minimax Hedging Strategy," Computational Economics, Society for Computational Economics, vol. 7(4), pages 245-75.
    6. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
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    Cited by:
    1. Rustem, Berc & Becker, Robin G. & Marty, Wolfgang, 2000. "Robust min-max portfolio strategies for rival forecast and risk scenarios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1591-1621, October.
    2. Azzato, Jeffrey & Krawczyk, Jacek & Sissons, Christopher, 2011. "On loss-avoiding lump-sum pension optimization with contingent targets," Working Paper Series 1532, Victoria University of Wellington, School of Economics and Finance.
    3. Costa, O. L. V. & Paiva, A. C., 2002. "Robust portfolio selection using linear-matrix inequalities," Journal of Economic Dynamics and Control, Elsevier, vol. 26(6), pages 889-909, June.
    4. Howe, M. A. & Rustem, B., 1997. "A robust hedging algorithm," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1065-1092, June.

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