Exponential Hedging and Entropic Penalties (Q4551807): Difference between revisions

@@ Property / author @@
-Martin Schweizer
@@ Property / author: Martin Schweizer / rank @@
-Normal rank
@@ Property / author @@
-Q163432
@@ Property / author: Q163432 / rank @@
-Normal rank
@@ Property / author @@
+Martin Schweizer
@@ Property / author: Martin Schweizer / rank @@
+Normal rank
@@ Property / author @@
+Christophe Stricker
@@ Property / author: Christophe Stricker / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1111/1467-9965.02001
+Normal rank
@@ Property / OpenAlex ID @@
+W3124521936
@@ Property / OpenAlex ID: W3124521936 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Existence of Minimax Martingale Measures
@@ Property / cites work: On the Existence of Minimax Martingale Measures / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing contingent claims on stocks driven by Lévy processes
+Normal rank
@@ Property / cites work @@
+Weighted norm inequalities and hedging in incomplete markets
+Normal rank
@@ Property / cites work @@
+Introduction to a theory of value coherent with the no-arbitrage principle
+Normal rank
@@ Property / cites work @@
+Minimax and minimal distance martingale measures and their relationship to portfolio optimization
+Normal rank
@@ Property / cites work @@
+Mean-Variance Hedging and Numeraire
@@ Property / cites work: Mean-Variance Hedging and Numeraire / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Dynamic programming and mean-variance hedging
@@ Property / cites work: Dynamic programming and mean-variance hedging / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4551807