Numeraire-Invariant Quadratic Hedging and Mean-Variance Portfolio Allocation.
Ales CernýChristoph CzichowskyJan KallsenPublished in: Math. Oper. Res. (2024)
Keyphrases
- portfolio selection
- financial markets
- transaction costs
- portfolio optimization
- portfolio management
- optimal portfolio
- efficient frontier
- allocation strategy
- affine transformation
- optimal allocation
- computational complexity
- dynamic allocation
- robust optimization
- market data
- investment strategies
- risk management
- stock market
- decision making
- data envelopment analysis
- moment invariants
- stock price
- resource allocation
- pairwise
- data sets
- exchange rate
- problems involving
- invariant features
- multiple objectives
- option pricing
- affine invariant
- asset allocation