Reducing transaction costs for interest rate risk hedging with stochastic programming.
Jörgen BlomvallJohan HagenbjörkPublished in: Eur. J. Oper. Res. (2022)
Keyphrases
- transaction costs
- stochastic programming
- risk averse
- portfolio management
- multistage
- chance constrained
- linear program
- robust optimization
- portfolio selection
- search costs
- stock exchange
- portfolio optimization
- asset liability management
- risk management
- data mining
- stock price
- mathematical programming
- theoretical framework
- dynamic programming
- decision making
- machine learning