Optimization methods in portfolio management and option hedging
نویسنده
چکیده
These lecture notes give an introduction to modern, continuous-time portfolio management and option hedging. We present the stochastic control method to portfolio optimization, which covers Merton’s pioneering work. The alternative martingale approach is also exposed with a nice application on option hedging with value at risk criterion. ∗Lectures for the CIMPA-IMAMIS school on mathematical finance, Hanoi, April-May 2007.
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تاریخ انتشار 2007