The duality of option investment strategies for hedge funds
dc.contributor.author | Rodriguez-Mancilla, J.R. | |
dc.contributor.author | Ziemba, William T. | |
dc.contributor.editor | Higle, Julie L. | |
dc.contributor.editor | Römisch, Werner | |
dc.contributor.editor | Sen, Surrajeet | |
dc.date.accessioned | 2017-06-16T19:54:12Z | |
dc.date.available | 2017-06-16T19:54:12Z | |
dc.date.created | 2006-03-01 | |
dc.date.issued | 2003-09-30 | |
dc.date.submitted | 2003-07-27 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/8953 | |
dc.description.abstract | 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. Explicit optimal conditions for option investments are obtained for several models. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject.ddc | 510 Mathematik | |
dc.title | The duality of option investment strategies for hedge funds | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10059174 | |
dc.identifier.doi | http://dx.doi.org/10.18452/8301 | |
local.edoc.pages | 39 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
dc.identifier.zdb | 2936317-2 | |
bua.series.name | Stochastic Programming E-Print Series | |
bua.series.issuenumber | 2003,19 |