A utility maximization approach to hedging in incomplete markets

DOI10.1007/S001860050100MaRDI QIDQ1809501zbMATH OpenOpenAlexFDO

Authors Jan Kallsen

Publication date 8 January 2001

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001860050100

zbMATH Keywords

portfolio optimizationhedgingincomplete markets

Mathematics Subject Classification ID

Utility theory (91B16)

Cited in

(15)

• Hedging by sequential regressions revisited
• Variance-optimal hedging for processes with stationary independent increments
• MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
• Time-consistent mean-variance portfolio selection in discrete and continuous time
• On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
• On utility maximization under convex portfolio constraints
• Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
• A numerical method for hedging Bermudan options under model uncertainty
• Utility maximization under risk constraints and incomplete information for a market with a change point
• An algorithmic approach to non-self-financing hedging in a discrete-time incomplete market
• Remarks on optimal strategies to utility maximizations in continuous time incomplete markets
• Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
• scientific article; zbMATH DE number 5263208 (Why is no real title available?)
• Dynamic hedging in incomplete markets using risk measures

This page was built for publication: A utility maximization approach to hedging in incomplete markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1809501)