arXiv Open Access 2013

Hedging without sweat: a genetic programming approach

Terje Lensberg Klaus Reiner Schenk-Hoppé

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Abstrak

Hedging in the presence of transaction costs leads to complex optimization problems. These problems typically lack closed-form solutions, and their implementation relies on numerical methods that provide hedging strategies for specific parameter values. In this paper we use a genetic programming algorithm to derive explicit formulas for near-optimal hedging strategies under nonlinear transaction costs. The strategies are valid over a large range of parameter values and require no information about the structure of the optimal hedging strategy.

Topik & Kata Kunci

q-fin.RM q-fin.PR

Penulis (2)

Terje Lensberg

Klaus Reiner Schenk-Hoppé

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APA MLA BibTeX

Lensberg, T., Schenk-Hoppé, K.R. (2013). Hedging without sweat: a genetic programming approach. https://arxiv.org/abs/1305.6762

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Informasi Jurnal

Tahun Terbit: 2013
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓