The Feedback Effect of Hedging in Portfolio Optimization
Other Condensed Matter
2008-12-10 v1 Portfolio Management
Abstract
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.
Cite
@article{arxiv.cond-mat/0404520,
title = {The Feedback Effect of Hedging in Portfolio Optimization},
author = {Pierre Henry-Labordere},
journal= {arXiv preprint arXiv:cond-mat/0404520},
year = {2008}
}
Comments
10 pages