scientific article; zbMATH DE number 2062291

zbMATH Open1107.91335MaRDI QIDQ4459178FDOQ4459178

Authors: Shota Gugushvili 

Publication date: 25 March 2004

Full work available at URL: https://eudml.org/doc/53042

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zbMATH Keywords

dynamic programmingoptimality principle

Mathematics Subject Classification ID

Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• Dynamic programming and hedging strategies in discrete time
• Mean-variance hedging via stochastic control and BSDEs for general semimartingales
• Dynamic programming and mean-variance hedging with partial execution risk
• Dynamic programming and mean‐variance hedging in discrete time
• A note on the optimal portfolio problem in discrete processes
• Learning minimum variance discrete hedging directly from the market
• Hedging derivatives on two assets with model risk

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