Dynamic programming and mean-variance hedging with partial execution risk
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Cites work
- scientific article; zbMATH DE number 2062291 (Why is no real title available?)
- scientific article; zbMATH DE number 2110050 (Why is no real title available?)
- A guided tour through quadratic hedging approaches
- An extension of mean-variance hedging to the discontinuous case
- Approximation pricing and the variance-optimal martingale measure
- Dynamic programming and mean-variance hedging
- Dynamic programming and mean‐variance hedging in discrete time
- Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
- Mean-variance hedging and numéraire
- Mean-variance hedging for continuous processes: New proofs and examples
- Mean-variance hedging in continuous time
- On Quadratic Cost Criteria for Option Hedging
- On quadratic hedging in continuous time
- On the Mean-Variance Hedging Problem
- On the structure of general mean-variance hedging strategies
- Optimal portfolio of low liquid assets with a log-utility function
- Variance-Optimal Hedging in Discrete Time
Cited in
(6)- Dynamic mean-risk optimization in a binomial model
- Dynamic programming and mean‐variance hedging in discrete time
- scientific article; zbMATH DE number 2062291 (Why is no real title available?)
- Optimal hedging through limit orders
- Option replication in discrete time with illiquidity
- Mean-variance hedging with uncertain trade execution
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