Optimal positioning in derivative securities in incomplete markets
By Tim Leung, Matthew Lorig, Yoshihiro Shirai
Rating
1483
Battle Count: 18
Relevance
9/10
Highly relevant for derivative trading and risk management in incomplete markets
Implementation Complexity
7/10
Requires advanced mathematical knowledge and optimization techniques
Reproducibility
4/5
Theoretical results are well-documented, but implementation details for numerical examples may require additional information
About this paper
Methodology: Utility maximization. Problem types: Optimization, Static Hedging, Risk Management.
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