{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,18]],"date-time":"2025-12-18T20:05:16Z","timestamp":1766088316392,"version":"3.40.5"},"reference-count":19,"publisher":"Walter de Gruyter GmbH","issue":"3","license":[{"start":{"date-parts":[[2024,8,3]],"date-time":"2024-08-03T00:00:00Z","timestamp":1722643200000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2024,9,1]]},"abstract":"<jats:title>Abstract<\/jats:title>\n               <jats:p>In this article we will propose a novel, self-financing, dynamic and path dependent portfolio trading strategy\nwhich is based on the well known principle \u201csell high \u2013 buy\nlow\u201d. Trading strategies are important also for the hedging\nproblem selling\/buying an option. The main problem of the writer\nof an option is how to invest the amount that she has received\nselling the option therefore the proposed trading strategy play an\nimportant role here. We will see that the hedging problem reduces\nto an optimization one and therefore the portfolio optimization\nand the hedging problem are closely related. We will also propose\na deterministic portfolio selection method (i.e., without making\nany assumption-guess about the assets) and a notion of a\ndeterministic fair price of an option.<\/jats:p>","DOI":"10.1515\/mcma-2024-2009","type":"journal-article","created":{"date-parts":[[2024,8,2]],"date-time":"2024-08-02T17:42:20Z","timestamp":1722620540000},"page":"249-267","source":"Crossref","is-referenced-by-count":2,"title":["A novel portfolio optimization method and its application to the hedging problem"],"prefix":"10.1515","volume":"30","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8756-8229","authenticated-orcid":false,"given":"Nikolaos","family":"Halidias","sequence":"first","affiliation":[{"name":"Department of Statistics and Actuarial \u2013 Financial Mathematics , University of the Aegean , 83200 Samos , Greece"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"374","published-online":{"date-parts":[[2024,8,3]]},"reference":[{"key":"2024083008370645677_j_mcma-2024-2009_ref_001","doi-asserted-by":"crossref","unstructured":"H.  Albrecher, J.  Beirlant and J. L.  Teugels,\nReinsurance: Actuarial and Statistical Aspects,\nWiley Ser. Probab. Stat.,\nJohn Wiley & Sons, Hoboken, 2017.","DOI":"10.1002\/9781119412540"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_002","doi-asserted-by":"crossref","unstructured":"G.  Appa,\nOn the uniqueness of solutions to linear programs,\nJ. Oper. Res. Soc. 53 (2002), no. 10, 1127\u20131132.","DOI":"10.1057\/palgrave.jors.2601320"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_003","doi-asserted-by":"crossref","unstructured":"J.  Armstrong, C.  Bellani, D.  Brigo and T.  Cass,\nOption pricing models without probability: A rough paths approach,\nMath. Finance 31 (2021), no. 4, 1494\u20131521.","DOI":"10.1111\/mafi.12308"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_004","doi-asserted-by":"crossref","unstructured":"M.  Avellaneda, A.  Levy and A.  Paras,\nPricing and hedging derivative securities in markets with uncertain volatilities,\nAppl. Math. Finance 2 (1995), no. 2, 73\u201388.","DOI":"10.1080\/13504869500000005"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_005","doi-asserted-by":"crossref","unstructured":"F.  Black and M.  Scholes,\nThe pricing of options and corporate liabilities,\nJ. Polit. Econ. 81 (1973), no. 3, 637\u2013654.","DOI":"10.1086\/260062"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_006","doi-asserted-by":"crossref","unstructured":"V.  Capasso and D.  Bakstein,\nAn Introduction to Continuous-Time Stochastic Processes\u2014Theory, Models, and Applications to Finance, Biology, and Medicine,\nModel. Simul. Sci. Eng. Technol.,\nBirkh\u00e4user\/Springer, Cham, 2021.","DOI":"10.1007\/978-3-030-69653-5_2"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_007","doi-asserted-by":"crossref","unstructured":"M.  Capinski and E.  Kopp,\nPortfolio Theory and Risk Management,\nCambridge University, Cambridge, 2014.","DOI":"10.1017\/CBO9781139017398"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_008","unstructured":"M.  Capi\u0144ski and T.  Zastawniak,\nMathematics for Finance,\nSpringer Undergrad. Math. Ser.,\nSpringer, London, 2003."},{"key":"2024083008370645677_j_mcma-2024-2009_ref_009","doi-asserted-by":"crossref","unstructured":"P.  Carr, K.  Ellis and V.  Gupta,\nStatic hedging of exotic options,\nJ. Finance 53 (1998), no. 3, 1\u201326.","DOI":"10.1111\/0022-1082.00048"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_010","doi-asserted-by":"crossref","unstructured":"R.  Cont,\nModel calibration,\nEncyclopedia of Quantitative Finance,\nWiley, New York (2010), https:\/\/doi.org\/10.1002\/9780470061602.eqf08002.","DOI":"10.1002\/9780470061602.eqf08002"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_011","doi-asserted-by":"crossref","unstructured":"J. C.  Cox, S. A.  Ross and M.  Rubinstein,\nOption pricing: A simplified approach,\nJ. Financ. Econ. 7 (1979), no. 3, 229\u2013263.","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_012","doi-asserted-by":"crossref","unstructured":"N.  El Karoui, M.  Jeanblanc-Picqu\u00e9 and S. E.  Shreve,\nRobustness of the Black and Scholes formula,\nMath. Finance 8 (1998), no. 2, 93\u2013126.","DOI":"10.1111\/1467-9965.00047"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_013","doi-asserted-by":"crossref","unstructured":"N.  Halidias,\nOn the construction of boundary preserving numerical schemes,\nMonte Carlo Methods Appl. 22 (2016), no. 4, 277\u2013289.","DOI":"10.1515\/mcma-2016-0113"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_014","doi-asserted-by":"crossref","unstructured":"N.  Halidias,\nOn the practical point of view of option pricing,\nMonte Carlo Methods Appl. 28 (2022), no. 4, 307\u2013318.","DOI":"10.1515\/mcma-2022-2122"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_015","doi-asserted-by":"crossref","unstructured":"N.  Halidias,\nOption pricing: Examples and open problems,\nMonte Carlo Methods Appl. 30 (2024), no. 1, 1\u201317.","DOI":"10.1515\/mcma-2023-2014"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_016","doi-asserted-by":"crossref","unstructured":"H. M.  Markowitz,\nPortfolio selection,\nJ. Finance 7 (1952), 77\u201391.","DOI":"10.1111\/j.1540-6261.1952.tb01525.x"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_017","doi-asserted-by":"crossref","unstructured":"R. C.  Merton,\nLifetime portfolio selection under uncertainty: The continuous-time model,\nRev. Econ. Stat. 51 (1969), 247\u2013257.","DOI":"10.2307\/1926560"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_018","doi-asserted-by":"crossref","unstructured":"R. C.  Merton,\nOptimum consumption and portfolio rules in a continuous-time model,\nJ. Econom. Theory 3 (1971), no. 4, 373\u2013413.","DOI":"10.1016\/0022-0531(71)90038-X"},{"key":"2024083008370645677_j_mcma-2024-2009_ref_019","doi-asserted-by":"crossref","unstructured":"R.  Velu, M.  Hardy and D.  Nehren,\nAlgorithmic Trading and Quantitative Strategies,\nCRC Press, Boca Raton, 2020.","DOI":"10.1201\/9780429183942"}],"container-title":["Monte Carlo Methods and Applications"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2024-2009\/xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2024-2009\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,8,30]],"date-time":"2024-08-30T08:37:23Z","timestamp":1725007043000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2024-2009\/html"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2024,8,3]]},"references-count":19,"journal-issue":{"issue":"3","published-online":{"date-parts":[[2024,6,18]]},"published-print":{"date-parts":[[2024,9,1]]}},"alternative-id":["10.1515\/mcma-2024-2009"],"URL":"https:\/\/doi.org\/10.1515\/mcma-2024-2009","relation":{},"ISSN":["0929-9629","1569-3961"],"issn-type":[{"type":"print","value":"0929-9629"},{"type":"electronic","value":"1569-3961"}],"subject":[],"published":{"date-parts":[[2024,8,3]]}}}