| Document Date: 2010-09-30 13:25:23
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City London / / Country United Kingdom / / / Facility Computing Imperial College of Science / / IndustryTerm derivative insurance strategy / erent optimal solution / insurance constraints / risk management / insurance guarantee / present several applications / insurance guarantees / derivative products / insurance holds / / Organization College of Science / Zymler∗ / Berç Rustem and Daniel Kuhn Department / / Person Harry Markowitz / Daniel Kuhn / / Position Queen / option writer / model / optimization model for option hedging using ellipsoidal uncertainty sets / writer / Corresponding author / /
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Robust Portfolio Optimization with Derivative Insurance Guarantees Steve Zymler∗, Berç Rustem and Daniel Kuhn Department of Computing Imperial College of Science, Technology and Medicine