Dynamic L p-Hedging in Discrete Time under Cone Constraints

DOI10.1137/S0363012998341095zbMath0964.91022OpenAlexW2079776305MaRDI QIDQ4943740

Huyên Pham

Publication date: 19 March 2000

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012998341095

zbMATH Keywords

hedgingdiscrete timeconvex dualityconstrained portfoliosstochastic control problemsuperhedgingshortfall

Mathematics Subject Classification ID

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