A utility maximization approach to hedging in incomplete markets (Q1809501)
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scientific article; zbMATH DE number 1370337
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| English | A utility maximization approach to hedging in incomplete markets |
scientific article; zbMATH DE number 1370337 |
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A utility maximization approach to hedging in incomplete markets (English)
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8 January 2001
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This paper proposes a solution to the hedging problem in incomplete markets by maximizing the expected utility of portfolio gains over infinitesimal time intervals.
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portfolio optimization
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hedging
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incomplete markets
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