{"id":"https://openalex.org/W2270565331","doi":"https://doi.org/10.1016/j.ejor.2014.01.034","title":"Optimal hedging when the underlying asset follows a regime-switching Markov process","display_name":"Optimal hedging when the underlying asset follows a regime-switching Markov process","publication_year":2014,"publication_date":"2014-01-27","ids":{"openalex":"https://openalex.org/W2270565331","doi":"https://doi.org/10.1016/j.ejor.2014.01.034","mag":"2270565331"},"language":"en","primary_location":{"id":"doi:10.1016/j.ejor.2014.01.034","doi":"https://doi.org/10.1016/j.ejor.2014.01.034","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.ejor.2014.01.034","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","ki-jl-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Journal of Operational Research","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5022837316","display_name":"Pascal Fran\u00e7ois","orcid":"https://orcid.org/0000-0003-0164-0467","observed_orcids":["https://orcid.org/0000-0003-0164-0467"]},"institutions":[{"id":"https://openalex.org/I108192572","display_name":"HEC Montr\u00e9al","ror":"https://ror.org/05ww3wq27","country_code":"CA","type":"education","lineage":["https://openalex.org/I108192572"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Pascal Fran\u00e7ois","raw_affiliation_strings":["HEC Montr\u00e9al, Department of Finance, 3000 ch. C\u00f4te-Ste-Catherine, Montr\u00e9al, Qu\u00e9bec H3T 2A7, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"HEC Montr\u00e9al, Department of Finance, 3000 ch. C\u00f4te-Ste-Catherine, Montr\u00e9al, Qu\u00e9bec H3T 2A7, Canada","institution_ids":["https://openalex.org/I108192572"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5039045250","display_name":"Genevi\u00e8ve Gauthier","orcid":"https://orcid.org/0000-0001-6098-0790","observed_orcids":["https://orcid.org/0000-0001-6098-0790"]},"institutions":[{"id":"https://openalex.org/I108192572","display_name":"HEC Montr\u00e9al","ror":"https://ror.org/05ww3wq27","country_code":"CA","type":"education","lineage":["https://openalex.org/I108192572"]},{"id":"https://openalex.org/I4210133247","display_name":"Group for Research in Decision Analysis","ror":"https://ror.org/02pkvpx84","country_code":"CA","type":"facility","lineage":["https://openalex.org/I108192572","https://openalex.org/I159129438","https://openalex.org/I4210133247","https://openalex.org/I45683168","https://openalex.org/I49663120","https://openalex.org/I5023651"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"Genevi\u00e8ve Gauthier","raw_affiliation_strings":["HEC Montr\u00e9al and GERAD, Department of Management Sciences, 3000 ch. C\u00f4te-Ste-Catherine, Montr\u00e9al, Qu\u00e9bec H3T 2A7, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"HEC Montr\u00e9al and GERAD, Department of Management Sciences, 3000 ch. C\u00f4te-Ste-Catherine, Montr\u00e9al, Qu\u00e9bec H3T 2A7, Canada","institution_ids":["https://openalex.org/I108192572","https://openalex.org/I4210133247"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5088660803","display_name":"Fr\u00e9d\u00e9ric Godin","orcid":"https://orcid.org/0000-0001-5097-5269","observed_orcids":["https://orcid.org/0000-0001-5097-5269"]},"institutions":[{"id":"https://openalex.org/I108192572","display_name":"HEC Montr\u00e9al","ror":"https://ror.org/05ww3wq27","country_code":"CA","type":"education","lineage":["https://openalex.org/I108192572"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Fr\u00e9d\u00e9ric Godin","raw_affiliation_strings":["Ph.D. Program, HEC Montr\u00e9al, 3000 ch. de la C\u00f4te-Ste-Catherine, Montr\u00e9al, Qu\u00e9bec H3T 2A7, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ph.D. Program, HEC Montr\u00e9al, 3000 ch. de la C\u00f4te-Ste-Catherine, Montr\u00e9al, Qu\u00e9bec H3T 2A7, Canada","institution_ids":["https://openalex.org/I108192572"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5039045250"],"corresponding_institution_ids":["https://openalex.org/I108192572","https://openalex.org/I4210133247"],"apc_list":{"value":3290,"currency":"USD","value_usd":3290},"apc_paid":null,"fwci":5.4917,"has_fulltext":false,"cited_by_count":27,"citation_normalized_percentile":{"value":0.95526962,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"237","issue":"1","first_page":"312","last_page":"322"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9922000169754028,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9922000169754028,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.00559999980032444,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.000699999975040555,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/optimal-hedging","display_name":"optimal hedging","score":0.9959999918937683},{"id":"https://openalex.org/keywords/regime-switching-models","display_name":"regime switching","score":0.7770000100135803},{"id":"https://openalex.org/keywords/markov-processes","display_name":"Markov processes","score":0.8370000123977661},{"id":"https://openalex.org/keywords/discrete-time-hedging","display_name":"discrete-time hedging","score":0.8889999985694885},{"id":"https://openalex.org/keywords/penalty-function","display_name":"penalty method","score":0.6000000238418579},{"id":"https://openalex.org/keywords/hedging-error","display_name":"hedging error","score":0.8429999947547913},{"id":"https://openalex.org/keywords/backward-recursion","display_name":"backward recursion","score":0.9700000286102295},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.47200000286102295},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.4129999876022339}],"concepts":[{"id":"https://openalex.org/C168773036","wikidata":"https://www.wikidata.org/wiki/Q264164","display_name":"Recursion (computer science)","level":2,"score":0.7723407745361328},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.6977006196975708},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.6200209856033325},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6198537945747375},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.5241496562957764},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.5208773612976074},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5104790925979614},{"id":"https://openalex.org/C111335779","wikidata":"https://www.wikidata.org/wiki/Q3454686","display_name":"Reduction (mathematics)","level":2,"score":0.5075284242630005},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.4886232018470764},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.4829842150211334},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.47918951511383057},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.4424911141395569},{"id":"https://openalex.org/C55689738","wikidata":"https://www.wikidata.org/wiki/Q15963867","display_name":"Discrete time and continuous time","level":2,"score":0.43561404943466187},{"id":"https://openalex.org/C6180225","wikidata":"https://www.wikidata.org/wiki/Q3411771","display_name":"Penalty method","level":2,"score":0.4230566918849945},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.31628161668777466},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.2574094533920288},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.09495523571968079},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0},{"id":"https://openalex.org/C13280743","wikidata":"https://www.wikidata.org/wiki/Q131089","display_name":"Geodesy","level":1,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1016/j.ejor.2014.01.034","doi":"https://doi.org/10.1016/j.ejor.2014.01.034","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.ejor.2014.01.034","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","ki-jl-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Journal of Operational Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:lvl:lacicr:1234","doi":null,"is_oa":false,"landing_page_url":"http://www.cirpee.org/fileadmin/documents/Cahiers_2012/CIRPEE12-34.pdf","pdf_url":"http://www.cirpee.org/fileadmin/documents/Cahiers_2012/CIRPEE12-34.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"mag:2270565331","doi":null,"is_oa":false,"landing_page_url":"https://ideas.repec.org/p/lvl/lacicr/1234.html","pdf_url":null,"source":{"id":"https://openalex.org/S4306505481","display_name":"Cahiers de recherche","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Cahiers de recherche","raw_type":null},{"id":"mag:3125693764","doi":null,"is_oa":false,"landing_page_url":"https://EconPapers.repec.org/RePEc:lvl:lacicr:1234","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:eee:ejores:v:237:y:2014:i:1:p:312-322","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0377221714000551","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:dspace.erudit.org:003672dd","doi":null,"is_oa":false,"landing_page_url":"https://depot.erudit.org/id/003672dd","pdf_url":null,"source":{"id":"https://openalex.org/S4306401565","display_name":"\u00c9rudit documents and data repository (\u00c9rudit Consortium, University of Montreal)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I70931966","host_organization_name":"Universit\u00e9 de Montr\u00e9al","host_organization_lineage":["https://openalex.org/I70931966"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Working Paper"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.7099999785423279,"id":"https://metadata.un.org/sdg/16","display_name":"Peace, justice, and strong institutions"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":35,"referenced_works":["https://openalex.org/W1498350439","https://openalex.org/W1577300865","https://openalex.org/W1925015885","https://openalex.org/W1965746347","https://openalex.org/W1973946491","https://openalex.org/W1975366064","https://openalex.org/W1980576284","https://openalex.org/W1984328418","https://openalex.org/W1985977041","https://openalex.org/W2025006397","https://openalex.org/W2029099602","https://openalex.org/W2049633694","https://openalex.org/W2060622579","https://openalex.org/W2064186236","https://openalex.org/W2069294061","https://openalex.org/W2071622900","https://openalex.org/W2074812030","https://openalex.org/W2075679850","https://openalex.org/W2079776305","https://openalex.org/W2086699924","https://openalex.org/W2087019456","https://openalex.org/W2095578262","https://openalex.org/W2108920735","https://openalex.org/W2113398415","https://openalex.org/W2117049517","https://openalex.org/W2128693036","https://openalex.org/W2150733281","https://openalex.org/W2153316750","https://openalex.org/W2158301291","https://openalex.org/W2159479369","https://openalex.org/W2161659168","https://openalex.org/W2247864266","https://openalex.org/W2293176873","https://openalex.org/W3124869028","https://openalex.org/W4238035223"],"related_works":["https://openalex.org/W3124869028","https://openalex.org/W3121740934","https://openalex.org/W3122242099","https://openalex.org/W7099448578","https://openalex.org/W1978458960","https://openalex.org/W2247864266","https://openalex.org/W3202752799","https://openalex.org/W2785214936","https://openalex.org/W213592383","https://openalex.org/W3121219240"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":4}],"updated_date":"2026-10-27T15:51:10.671819","created_date":"2016-06-24T00:00:00"}
