Hedging an option portfolio with minimum transaction lots: A fuzzy goal programming problem
Author:
Funder
National Science Council of the Republic of China, Taiwan
Publisher
Elsevier BV
Subject
Software
Reference26 articles.
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3. Optimizing international portfolios with options and forwards;Topaloglou;J. Bank. Finance,2011
4. Conditional value-at-risk for general loss distributions;Rockafellar;J. Bank. Finance,2002
5. Option strategies with linear programming;Papahristodoulou;Eur. J. Oper. Res.,2004
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