MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET (Q5472785): Difference between revisions

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+An extension of mean-variance hedging to the discontinuous case
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+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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+\(\mathcal E\)-martingales and their applications in mathematical finance
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+On Fefferman and Burkholder-Davis-Gundy inequalities for \({\mathcal E}\)-martingales
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+Weighted norm inequalities and hedging in incomplete markets
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+Optimal portfolios when stock prices follow an exponential Lévy process
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+The minimal entropy martingale measures for geometric Lévy processes
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+Minimax and minimal distance martingale measures and their relationship to portfolio optimization
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+Mean-Variance Hedging and Numeraire
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+Calcul stochastique et problèmes de martingales
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+Optimal portfolios for exponential Lévy processes.
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
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+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
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+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
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+Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
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+Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
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+Products of trees for investment analysis
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+Approximation pricing and the variance-optimal martingale measure
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+MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
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+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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