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Robust Risk-Minimizing Hedging Strategies
1 −−− 2 −−−− 3 −−− −−−−− 4 −−−−−−−−− 5 − 6 − 17/35 Objective functions • Stochastic programming: ... constraints LiT−1 (XiT−1 , ziT−1 ,ZiT−1 ) ≤ emax , (17) fiT−1 (XiT−1 ) = ziT−1 . (18) And for all t = T ...- Authors: PATRICE GAILLARDETZ
- Date: Feb 2024
- Publication Name: Actuarial Research Clearing House