The cheapers hedge

Journal of Mathematical Economics

Volumn 37, Issue 4, 2002, Pages 269-295

  Aliprantis, Charalambos D ^a   Polyrakis, Yiannis A ^b   Tourky, Rabee ^c  

^a PURDUE UNIVERSITY   (United States)

^b NATIONAL TECHNICAL UNIVERSITY OF ATHENS   (Greece)

^c UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Hedging; Ordered vector spaces; Portfolio dominance; Portfolio insurance; Super replicating portfolio

Indexed keywords

EID: 0036335333     PISSN: 03044068     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0304-4068(02)00034-4     Document Type: Article

References (15)

1. The super order dual of an ordered vector space and the Riesz-Kantorovich formula
2. Markets that do not replicate any options
3. Minimum-cost portfolio insurance
4. Optimal replication of contingent claims under portfolio constraints
5. Spanning, valuation and options
6. Optimal replication of options with transaction costs and trading restrictions
7. Spanning and completeness in markets with contingent claims
8. On the pricing of contingent claims under constraints
9. Hedging American contingent claims with constrained portfolios
10. Extremal structure of convex sets
11. Who should buy portfolio insurance
12. The Theory of Incomplete Markets
13. Leverage constraints and the optimal hedging of stock and bond options
14. Options and efficiency