Optimal derivatives design for mean-variance agents under adverse selection
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Publication:2459036
DOI10.1007/s11579-007-0003-1zbMath1173.91379MaRDI QIDQ2459036
Nizar Touzi, Guillaume Carlier, Ivar Ekeland
Publication date: 5 November 2007
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-007-0003-1
91G20: Derivative securities (option pricing, hedging, etc.)
49N99: Miscellaneous topics in calculus of variations and optimal control
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