Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints (Q4906508)

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scientific article; zbMATH DE number 6139561
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Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
scientific article; zbMATH DE number 6139561

    Statements

    title
    Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints (English)
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    author
    Christoph Czichowsky
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    Martin Schweizer
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    publication date
    28 February 2013
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    zbMATH Keywords
    mean-variance hedging
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    constraints
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    stochastic integral
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    convex duality
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    cites work
    Q5386174
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    Q5294265
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    Q4085497
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    Q3158925
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    Q4368791
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    Q5638112
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    Q4151283
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    Q2771116
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    Identifiers

    Mathematics Subject Classification ID
    60G48
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    91G10
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    93E20
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    49N10
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    60H05
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    zbMATH DE Number
    6139561
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    OpenAlex ID
    W3121414793
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