Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
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Publication:4906508
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Cited in
(15)- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Optimal investment and contingent claim valuation in illiquid markets
- Satisfying convex risk limits by trading
- Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Sensitivity analysis of the utility maximisation problem with respect to model perturbations
- Pricing and hedging option under portfolio constrained
- Cone-constrained continuous-time Markowitz problems
- On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios
- Duality in a Problem of Static Partial Hedging under Convex Constraints
- Convex measures of risk and trading constraints
- Optional and predictable projections of normal integrands and convex-valued processes
- Gain-loss based convex risk limits in discrete-time trading
- Simplified mean-variance portfolio optimisation
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