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Quantitative Finance Volume 13, 2013 - Issue 10: Themed Issue on Fund Management
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Research Papers

Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication

Akihiko Takahashi Graduate School of Economics, The University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo, Japan
&
Kyo Yamamoto GCI Asset Management, Inc., 12F Chiyoda First Bldg. East, 3-8-1 Nishi-Kanda, Chiyoda-Ku, Tokyo, JapanCorrespondence[email protected]
Pages 1559-1573 | Received 09 Jan 2011, Accepted 19 Feb 2013, Published online: 26 Jun 2013

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Read on this site (2)

C. Bernard, D. Cornilly & S. Vanduffel. (2018) Optimal portfolios under a correlation constraint. Quantitative Finance 18:3, pages 333-345.
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Carole Bernard, Franck Moraux, Ludger Rüschendorf & Steven Vanduffel. (2015) Optimal payoffs under state-dependent preferences. Quantitative Finance 15:7, pages 1157-1173.
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Articles from other publishers (6)

Masafumi Nakano & Akihiko Takahashi. (2020) A new investment method with AutoEncoder: Applications to crypto currencies. Expert Systems with Applications 162, pages 113730.
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Masafumi Nakano, Akihiko Takahashi & Soichiro Takahashi. (2019) State–space approach to adaptive fuzzy modeling for financial investment. Applied Soft Computing 82, pages 105590.
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José Manuel Corcuera, José Fajardo & Olivier Menouken Pamen. 2016. Advanced Modelling in Mathematical Finance. Advanced Modelling in Mathematical Finance 313 330 .
Ludger Rüschendorf & Viktor Wolf. (2015) Cost-efficiency in multivariate Lévy models. Dependence Modeling 3:1.
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Joss Manuel Corcuera & Olivier Menouken Pamen. (2016) On the Optimal Investment. SSRN Electronic Journal.
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Carole Bernard, Dries Cornilly & Steven Vanduffel. (2016) Optimal Portfolios Under a Correlation Constraint. SSRN Electronic Journal.
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