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99
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AMC
2008
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AMC 2008
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Hedging strategy for a portfolio of options and stocks with linear programming
15 years 3 months ago
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This paper extends the model proposed by Papahristodoulou [C. Papahristodoulou, Option strategies with linear programming, European Journal of Operational Research 157 (2004) 246
Mehmet Horasanli
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