Variance-optimal martingale measures for diffusion processes with stochastic coefficients

DOI10.1007/s11228-017-0435-6zbMath1405.60056OpenAlexW2724350792MaRDI QIDQ1711096

Daniel Hernández-Hernández

Publication date: 16 January 2019

Published in: Set-Valued and Variational Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11228-017-0435-6

zbMATH Keywords

risk sensitive controlquadratic hedgingvariance-optimal martingale measuremean variance portfolio

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44)

Related Items

Time-symmetric optimal stochastic control problems in space-time domains ⋮ On the parabolic equation for portfolio problems

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