ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS (Q5357516): Difference between revisions

@@ Property / author @@
-Alexander V. Melnikov
@@ Property / author: Alexander V. Melnikov / rank @@
-Normal rank
@@ Property / author @@
-Yuliya S. Mishura
@@ Property / author: Yuliya S. Mishura / rank @@
-Normal rank
@@ Property / author @@
+Alexander V. Melnikov
@@ Property / author: Alexander V. Melnikov / rank @@
+Normal rank
@@ Property / author @@
+Yuliya S. Mishura
@@ Property / author: Yuliya S. Mishura / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.06550
@@ Property / arXiv ID: 1704.06550 / rank @@
+Normal rank
@@ Property / cites work @@
+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
+Normal rank
@@ Property / cites work @@
+GKW representation theorem under restricted information: An application to risk-minimization
+Normal rank
@@ Property / cites work @@
+MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
+Normal rank
@@ Property / cites work @@
+Efficient hedging: cost versus shortfall risk
@@ Property / cites work: Efficient hedging: cost versus shortfall risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q3815091
@@ Property / cites work: Q3815091 / rank @@
+Normal rank
@@ Property / cites work @@
+Making mean-variance hedging implementable in a partially observable market
+Normal rank
@@ Property / cites work @@
+Variance-optimal hedging for processes with stationary independent increments
+Normal rank
@@ Property / cites work @@
+Mean-variance hedging via stochastic control and BSDEs for general semimartingales
+Normal rank
@@ Property / cites work @@
+Continuous-time portfolio optimization under terminal wealth constraints
+Normal rank
@@ Property / cites work @@
+Some applications of L2-hedging with a non-negative wealth process
+Normal rank
@@ Property / cites work @@
+Mean-variance hedging for general claims
@@ Property / cites work: Mean-variance hedging for general claims / rank @@
+Normal rank
@@ Property / cites work @@
+RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
+Normal rank
@@ Property / cites work @@
+Variance-Optimal Hedging in Discrete Time
@@ Property / cites work: Variance-Optimal Hedging in Discrete Time / rank @@
+Normal rank
@@ Property / cites work @@
+Insuring against the shortfall risk associated with real options
+Normal rank
@@ Property / OpenAlex ID @@
+W2611115694
@@ Property / OpenAlex ID: W2611115694 / rank @@
+Normal rank