Hedging without sweat: a genetic programming approach
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References listed on IDEAS
- Valeri zakamouline, 2006. "Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 435-445.
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- Palczewski, Jan & Poulsen, Rolf & Schenk-Hoppé, Klaus Reiner & Wang, Huamao, 2015. "Dynamic portfolio optimization with transaction costs and state-dependent drift," European Journal of Operational Research, Elsevier, vol. 243(3), pages 921-931.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2013-06-04 (Computational Economics)
- NEP-RMG-2013-06-04 (Risk Management)
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