Vasilios N. Katsikis

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In this article, we investigate the computational efficiency of an order theoretic approach applied to the problem of finding the cheapest hedge under portfolio constraints. In particular, we design a new computational method for computing the cheapest hedge and we discuss advantages of this method compared to the standard linear programming techniques. Numerical results as well as a new Matlab function for computing the cheapest hedge are provided.


Portfolio dominance, Portfolio optimization

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