Auflistung Volume 2003 nach Titel
Anzeige der Publikationen 17-25 von 25
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2003-09-30BuchOn Leland's option hedging strategy with transaction costs Nonzero transaction costs invalidate the Black-Scholes (1973) arbitrage argument based on continuous trading. Leland (1985) developed a hedging strategy which modifies the Black-Scholes hedging strategy with a volatility ...
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2003-06-18BuchOptimality and duality theory for stochastic optimization problems with nonlinear dominance constraints We consider a new class of optimization problems involving stochastic dominance constraints of second order. We develop a new splitting approach to these models, optimality conditions and duality theory. These results are ...
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2003-06-18BuchOptimization with stochastic dominance constraints We introduce stochastic optimization problems involving stochastic dominance constraints. We develop necessary and sufficient conditions of optimality and duality theory for theses models and we show that the Lagrange ...
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2003-02-10BuchPerturbation ananlysis of chance-constrained programs under variation of all constraint data A fairly general shape of chance constraint programs is\[(P) min \{ g(x) | x \in X, \mu (H(x)) \le p \} ,\]where $g : \R^m \to \R$ is a continuous objective function, $X \subseteq \R^m$ is a closed subset of deterministic ...
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2003-09-30BuchPortfolio optimization with stochastic dominance constraints We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints ...
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2003-06-21BuchSimplification of recourse models by modification of recourse data We consider modification of the recourse data, consisting of the second-stage parameters and the underlying distribution, as an approximation technique for solving two-stage recourse problems. This approach is applied to ...
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2003-09-30BuchStock ownership decisions in DC pension plans This paper considers the risk of employee pension accounts when there is a large weighting in company stock. The effect of reduced diversification and job related risk are considered. Mean-variance and scenario-based ...
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2003-06-20BuchSubtree decomposition for multistage stochastic programs An algorithm for solving multistage stochastic recourse problems is described. The scenario tree is decomposed using a cover of subtrees. The progressive hedging algorithm is used to ensure implementability across the ...
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2003-09-30BuchThe duality of option investment strategies for hedge funds This paper explores the structure of optimal investment strategies using stochastic programming and duality theory in investment portfolios containing options for a hedge fund manager who attempts to beat a benchmark. ...