A NEW COMPUTATIONAL METHOD FOR FINDING THE CHEAPEST HEDGE

Vasilios N. Katsikis

DOI Number
-
First page
349
Last page
362

Abstract


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.

Keywords


Portfolio dominance, Portfolio optimization

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References


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