The nonconvex problem of minimum curvature is considered in detail and sufficient conditions for existence of solutions as well as characterizations are presented. The L ∞ minimization problem of ...

Certain types of quadratic programs with linear constraints have the property that an extreme point of the convex set of feasible solutions is an optimal solution. This paper presents a procedure for ...

In an incomplete market it is usually impossible to eliminate the intrinsic risk of an option. In this case quadratic risk minimization is often used to determine a hedging strategy. However, it may ...