Dynamic programming and mean‐variance hedging in discrete time

DOI10.1080/1350486042000196164zbMATH Open1088.91030OpenAlexW3125366559MaRDI QIDQ4650902FDOQ4650902

Authors: 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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cited In (14)

• Optimal asset--liability management with constraints: A dynamic programming approach
• 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
• A profitable modification to global quadratic hedging
• Quadratic hedging for sequential claims with random weights in discrete time
• Insurance valuation: A two-step generalised regression approach
• On the structure of general mean-variance hedging strategies
• Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
• 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
• Title not available (Why is that?)
• Hedging by sequential regressions revisited

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