The cheapers hedge

Aliprantis, CD; Polyrakis, YA; Tourky, R

dc.contributor.author	Aliprantis, CD	en
dc.contributor.author	Polyrakis, YA	en
dc.contributor.author	Tourky, R	en
dc.date.accessioned	2014-03-01T01:18:24Z
dc.date.available	2014-03-01T01:18:24Z
dc.date.issued	2002	en
dc.identifier.issn	0304-4068	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/14985
dc.subject	Hedging	en
dc.subject	Ordered vector spaces	en
dc.subject	Portfolio dominance	en
dc.subject	Portfolio insurance	en
dc.subject	Super-replicating portfolio	en
dc.subject.classification	Economics	en
dc.subject.classification	Mathematics, Interdisciplinary Applications	en
dc.subject.classification	Social Sciences, Mathematical Methods	en
dc.subject.other	OPTIMAL REPLICATION	en
dc.subject.other	CONTINGENT CLAIMS	en
dc.subject.other	OPTIONS	en
dc.subject.other	CONSTRAINTS	en
dc.title	The cheapers hedge	en
heal.type	journalArticle	en
heal.identifier.primary	10.1016/S0304-4068(02)00034-4	en
heal.identifier.secondary	http://dx.doi.org/10.1016/S0304-4068(02)00034-4	en
heal.language	English	en
heal.publicationDate	2002	en
heal.abstract	Investors often wish to insure themselves against the payoff of their portfolios falling below a certain value. One way of doing this is by purchasing an appropriate collection of traded securities. However, when the derivatives market is not complete, an investor who seeks portfolio insurance will also be interested in the cheapest hedge that is marketed. Such insurance will not exactly replicate the desired insured-payoff, but it is the cheapest that can be achieved using the market. Analytically, the problem of finding a cheapest insuring portfolio is a linear programming problem. The present paper provides an alternative portfolio dominance approach to solving the minimum-premium insurance portfolio problem. This affords remarkably rich and intuitive insights to determining and describing the minimum-premium insurance portfolios. (C) 2002 Elsevier Science B.V. All rights reserved.	en
heal.publisher	ELSEVIER SCIENCE SA	en
heal.journalName	Journal of Mathematical Economics	en
dc.identifier.doi	10.1016/S0304-4068(02)00034-4	en
dc.identifier.isi	ISI:000178468200002	en
dc.identifier.volume	37	en
dc.identifier.issue	3	en
dc.identifier.spage	269	en
dc.identifier.epage	295	en