MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
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Publication:5692941
DOI10.1111/j.1467-9965.2005.00231.xzbMath1102.91061OpenAlexW3125997527MaRDI QIDQ5692941
Publication date: 28 September 2005
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2005.00231.x
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Efficient hedging: cost versus shortfall risk
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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