Variance-optimal martingale measures for diffusion processes with stochastic coefficients

DOI10.1007/S11228-017-0435-6zbMath1405.60056OpenAlexW2724350792MaRDI QIDQ1711096

Daniel Hernández-Hernández

Publication date: 16 January 2019

Published in: Set-Valued and Variational Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11228-017-0435-6

zbMATH Keywords

risk sensitive controlquadratic hedgingvariance-optimal martingale measuremean variance portfolio

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44)

Related Items (2)

Time-symmetric optimal stochastic control problems in space-time domains ⋮ On the parabolic equation for portfolio problems

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