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    Statements

    author
    Michael Mania
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    Revaz Tevzadze
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    publication date
    27 November 2001
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    zbMATH Keywords
    backward equation
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    variance-optimal martingale measure
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    dynamic programming
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    incomplete markets
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    mean-variance hedging
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    Bellman equation
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    60H30
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    90C39
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    zbMATH DE Number
    1586969
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