Mean-Variance Hedging with Uncertain Trade Execution (Q3652692): Difference between revisions

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+https://doi.org/10.1080/13504860802583972
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+W2095445994
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+An extension of mean-variance hedging to the discontinuous case
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+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
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+Mean-variance hedging in continuous time
@@ Property / cites work: Mean-variance hedging in continuous time / rank @@
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+Mean-Variance Hedging and Numeraire
@@ Property / cites work: Mean-Variance Hedging and Numeraire / rank @@
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+Hedging and liquidation under transaction costs in currency markets
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+Limit theorem on option replication cost with transaction costs
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+Optimal portfolio of low liquid assets with a log-utility function
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+On quadratic hedging in continuous time
@@ Property / cites work: On quadratic hedging in continuous time / rank @@
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+Mean-variance hedging for continuous processes: New proofs and examples
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+On Quadratic Cost Criteria for Option Hedging
@@ Property / cites work: On Quadratic Cost Criteria for Option Hedging / rank @@
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+Variance-Optimal Hedging in Discrete Time
@@ Property / cites work: Variance-Optimal Hedging in Discrete Time / rank @@
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+Approximation pricing and the variance-optimal martingale measure
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+The Liquidity Discount
@@ Property / cites work: The Liquidity Discount / rank @@
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+Publication:3652692