Numeraire-invariant quadratic hedging and mean-variance portfolio allocation (Q6563013)
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scientific article; zbMATH DE number 7872316
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| default for all languages | No label defined |
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| English | Numeraire-invariant quadratic hedging and mean-variance portfolio allocation |
scientific article; zbMATH DE number 7872316 |
Statements
Numeraire-invariant quadratic hedging and mean-variance portfolio allocation (English)
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27 June 2024
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quadratic hedging
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numeraire change
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oblique projection
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mean-variance portfolio selection
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no risk-free asset
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0.850034773349762
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0.7919763326644897
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0.7734049558639526
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0.7728363871574402
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