Exponential Hedging and Entropic Penalties

DOI10.1111/1467-9965.02001zbMath1072.91019OpenAlexW3124521936MaRDI QIDQ4551807

Freddy Delbaen, Peter Grandits, Dominick Samperi, Thorsten Rheinländer, Christophe Stricker, Martin Schweizer

Publication date: 28 October 2002

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.02001

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Portfolio theory (91G10)

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