Hedging diffusion processes by local risk minimization with applications to index tracking
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Publication:1027354
DOI10.1016/j.jedc.2006.06.005zbMath1163.91388MaRDI QIDQ1027354
Oh Kang Kwon, Nadima El-Hassan, David B. Colwell
Publication date: 1 July 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2006.06.005
hedging; incomplete market; portfolio selection; index tracking; local risk minimization; minimal martingale measure