Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
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Publication:4906508
DOI10.1239/AAP/1354716590zbMATH Open1277.60079OpenAlexW3121414793MaRDI QIDQ4906508FDOQ4906508
Authors: Christoph Czichowsky, Martin Schweizer 
Publication date: 28 February 2013
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1354716590
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Cited In (15)
- Pricing and hedging option under portfolio constrained
- Optimal investment and contingent claim valuation in illiquid markets
- Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Gain-loss based convex risk limits in discrete-time trading
- Duality in a Problem of Static Partial Hedging under Convex Constraints
- Simplified mean-variance portfolio optimisation
- Satisfying convex risk limits by trading
- Convex measures of risk and trading constraints
- Optional and predictable projections of normal integrands and convex-valued processes
- Sensitivity analysis of the utility maximisation problem with respect to model perturbations
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Cone-constrained continuous-time Markowitz problems
- On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios
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