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A proposed fuzzy optimal control model to minimise target tracking error in a dynamic hedging problem with a multi-asset, best-of option

journal contribution
posted on 2023-05-29, 05:10 authored by Sukanto BhattacharyaSukanto Bhattacharya, Mohammad Khoshnevisan
A proposed fuzzy optimal control model to minimise target tracking error in a dynamic hedging problem with a multi-asset, best-of option

History

Journal

JOURNAL OF ASSET MANAGEMENT

Volume

6

Pagination

136-140

ISSN

1470-8272

eISSN

1479-179X

Language

English

Publication classification

C1.1 Refereed article in a scholarly journal

Issue

2

Publisher

PALGRAVE MACMILLAN LTD