The Feedback Effect of Hedging in Portfolio Optimization

Authors

Henry-Labordere, Pierre

Description

In this short note, we will show how to optimize the portfolio of a large trader whose hedging strategy affects the price of his assets.
10 pages

Keywords

Other Condensed Matter, Portfolio Management

URI

http://salesiana.dossiersoluciones.com/handle/123456789/210110

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0404520
http://arxiv.org/abs/cond-mat/0404520

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