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Robust One Period Option Modelling

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  • Lutgens, F.
  • Sturm, J.F.

    (Tilburg University, School of Economics and Management)

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Suggested Citation

  • Lutgens, F. & Sturm, J.F., 2002. "Robust One Period Option Modelling," Other publications TiSEM a5d55d83-4751-461f-8114-1, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:a5d55d83-4751-461f-8114-1b5bb6457250
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    References listed on IDEAS

    as
    1. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1683, August.
    2. Costa, O. L. V. & Paiva, A. C., 2002. "Robust portfolio selection using linear-matrix inequalities," Journal of Economic Dynamics and Control, Elsevier, vol. 26(6), pages 889-909, June.
    3. Sturm, J.F. & Zhang, S., 2001. "On Cones of Nonnegative Quadratic Functions," Discussion Paper 2001-26, Tilburg University, Center for Economic Research.
    4. A. Ben-Tal & A. Nemirovski, 1998. "Robust Convex Optimization," Mathematics of Operations Research, INFORMS, vol. 23(4), pages 769-805, November.
    5. Rustem, Berc & Becker, Robin G. & Marty, Wolfgang, 2000. "Robust min-max portfolio strategies for rival forecast and risk scenarios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1591-1621, October.
    6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Cited by:

    1. Wong, Man Hong, 2013. "Investment models based on clustered scenario trees," European Journal of Operational Research, Elsevier, vol. 227(2), pages 314-324.
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