Optimal Hedging Under Robust-Cost Constraints

  • Pierre Bernhard
  • Jacob C. Engwerda
  • Berend Roorda
  • J. M. Schumacher
  • Vassili Kolokoltsov
  • Patrick Saint-Pierre
  • Jean-Pierre Aubin
Chapter
Part of the Static & Dynamic Game Theory: Foundations & Applications book series (SDGTFA)

Abstract

In this chapter, we consider an original problem: that of maximizing the best-case return of a trading strategy with a hard bound on the worst-case loss. We provide an explicit numerical algorithm for solving that problem.

Keywords

Robust optimization Worst-case loss. 

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Copyright information

© Birkhäuser Boston 2013

Authors and Affiliations

  • Pierre Bernhard
    • 1
  • Jacob C. Engwerda
    • 2
  • Berend Roorda
    • 3
  • J. M. Schumacher
    • 2
  • Vassili Kolokoltsov
    • 4
  • Patrick Saint-Pierre
    • 5
  • Jean-Pierre Aubin
    • 6
  1. 1.INRIA Sophia Antipolis-MéditerranéeSophia AntipolisFrance
  2. 2.CentER, Department of Econometrics and Operations Research Tilburg School of Economics and ManagementTilburg UniversityTilburgThe Netherlands
  3. 3.Department of Industrial Engineering and Business Information Systems School of Management and GovernanceUniversity of TwenteEnschedeThe Netherlands
  4. 4.Department of StatisticsUniversity of WarwickCoventryUK
  5. 5.Université Paris DauphineParisFrance
  6. 6.VIMADES (Viability, Markets, Automatics, Decisions)ParisFrance

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