Dynamic programming and mean‐variance hedging in discrete time

DOI10.1080/1350486042000196164zbMath1088.91030OpenAlexW3125366559MaRDI QIDQ4650902

Aleš Černý

Publication date: 18 February 2005

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

Full work available at URL: https://doi.org/10.1080/1350486042000196164

zbMATH Keywords

Mean-variance Hedging, Discrete Time, Dynamic Programming, Incomplete Market, Arbitrage

Mathematics Subject Classification ID

Economic time series analysis (91B84) Dynamic programming (90C39)

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On the structure of general mean-variance hedging strategies ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Quadratic hedging for sequential claims with random weights in discrete time ⋮ Hedging derivatives on two assets with model risk ⋮ Mean-variance hedging via stochastic control and BSDEs for general semimartingales ⋮ A profitable modification to global quadratic hedging ⋮ Optimal asset--liability management with constraints: A dynamic programming approach ⋮ Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency ⋮ HEDGING BY SEQUENTIAL REGRESSIONS REVISITED

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