Hedging an option portfolio with minimum transaction lots: A fuzzy goal programming problem.
Chang-Chun LinYi-Ting LiuAn-Pin ChenPublished in: Appl. Soft Comput. (2016)
Keyphrases
- goal programming
- option pricing
- multiple criteria decision making
- mathematical programming
- multi criteria
- min sum
- assembly line balancing
- transaction costs
- decision analysis
- portfolio selection
- multiple objectives
- stock price
- analytic hierarchy process
- payoff functions
- neural network
- decision making
- conflicting objectives
- data envelopment analysis
- linear programming