2004/04/21 by Pierre Henry-Labordere, Henry-Labordere, Pierre
Economics, Econometrics and Finance · Physics and Astronomy · #FOS: Economics and business #FOS: Physical sciences #Other Condensed Matter (cond-mat.other) #Portfolio Management (q-fin.PM) #cond-mat.other #q-fin.PM
paper · pdf · doi:10.48550/arxiv.cond-mat/0404520
10 pages
arxiv created 2004/04/21 · arxiv updated 2009/12/01
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.