The Feedback Effect of Hedging in Portfolio Optimization

Details The Feedback Effect of Hedging in Portfolio Optimization The Feedback Effect of Hedging in Portfolio Optimization

2004-04-21

arxiv.org/abs/cond-mat/0404520v1

Physics

Condensed Matter

Other Condensed Matter

10 pages

Scientific paper

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.

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