Variance-optimal martingale measures for diffusion processes with stochastic coefficients (Q1711096)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Variance-optimal martingale measures for diffusion processes with stochastic coefficients |
scientific article; zbMATH DE number 7002706
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Variance-optimal martingale measures for diffusion processes with stochastic coefficients |
scientific article; zbMATH DE number 7002706 |
Statements
Variance-optimal martingale measures for diffusion processes with stochastic coefficients (English)
0 references
16 January 2019
0 references
quadratic hedging
0 references
mean variance portfolio
0 references
variance-optimal martingale measure
0 references
risk sensitive control
0 references
0 references
0 references
