Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
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Publication:4507396
DOI10.1137/S036301299834185XzbMath1034.91037OpenAlexW2007171489MaRDI QIDQ4507396
Publication date: 18 October 2000
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s036301299834185x
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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