Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets

DOI10.1137/S036301299834185XzbMath1034.91037OpenAlexW2007171489MaRDI QIDQ4507396

Jakša Cvitanić

Publication date: 18 October 2000

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s036301299834185x

zbMATH Keywords

expected losshedgingincomplete marketsportfolio constraintsdynamic measures of risk

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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