Local risk-minimization for multidimensional assets and payment streams (Q3534755)
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scientific article; zbMATH DE number 5361733
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| English | Local risk-minimization for multidimensional assets and payment streams |
scientific article; zbMATH DE number 5361733 |
Statements
4 November 2008
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local risk-minimization
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quadratic hedging
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incomplete markets
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locally risk-minimizing
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Föllmer-Schweizer decomposition
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payment streams
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structure condition
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mean-variance tradeoff
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0.8079808950424194
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0.8034746646881104
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0.7982947826385498
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