MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING (Q5692941): Difference between revisions
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| Property / cites work: CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION / rank | |||
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| Property / cites work: Efficient hedging: cost versus shortfall risk / rank | |||
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| Property / cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets / rank | |||
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| Property / cites work: Necessary and sufficient conditions in the problem of optimal investment in incomplete markets / rank | |||
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| Property / cites work: Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation / rank | |||
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| Property / cites work: Optimum consumption and portfolio rules in a continuous-time model / rank | |||
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Latest revision as of 16:54, 10 June 2024
scientific article; zbMATH DE number 2209953
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING |
scientific article; zbMATH DE number 2209953 |
Statements
MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING (English)
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28 September 2005
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utility maximization
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incomplete markets
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