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2003-09-30Buch DOI: 10.18452/8301
The duality of option investment strategies for hedge funds
dc.contributor.authorRodriguez-Mancilla, J.R.
dc.contributor.authorZiemba, William T.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:54:12Z
dc.date.available2017-06-16T19:54:12Z
dc.date.created2006-03-01
dc.date.issued2003-09-30
dc.date.submitted2003-07-27
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8953
dc.description.abstractThis 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.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc510 Mathematik
dc.titleThe duality of option investment strategies for hedge funds
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10059174
dc.identifier.doihttp://dx.doi.org/10.18452/8301
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages39
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue19
local.edoc.container-erstkatid2936317-2

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