Robust one-period option hedging
成果类型：
Article
署名作者：
Lutgens, Frank; Sturm, Jos; Kolen, Antoon
署名单位：
Maastricht University; Tilburg University; Maastricht University
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1060.0352
发表日期：
2006
页码：
1051-1062
关键词：
摘要：
We consider robust optimization to cope with uncertainty about the stock return process in one-period option hedging problems. The robust approach relates portfolio choice to uncertainty, making more cautious hedges when uncertainty is high. We represent uncertainty by a set of plausible expected returns of the underlying stocks and show that for this set the robust problem is a second-order cone program that can be solved efficiently. We apply the approach to find an optimal portfolio to hedge an index option.