A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE

DOI10.1111/J.1467-9965.2007.00334.XMaRDI QIDQ5459960zbMATH OpenOpenAlexWikidataFDO

Authors Aleš Černý, Jan Kallsen

Publication date 30 April 2008

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL http://openaccess.city.ac.uk/3260/1/counterfinal.pdf

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow
• A Simple Counterexample to Several Problems in the Theory of Asset Pricing
• Approximating random variables by stochastic integrals
• Mean-variance hedging for stochastic volatility models
• On quadratic hedging in continuous time
• On the minimal martingale measure and the möllmer-schweizer decomposition
• On the structure of general mean-variance hedging strategies
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• The variance-optimal martingale measure for continuous processes
• Weighted norm inequalities and hedging in incomplete markets

Cited in

(10)

• Mean-variance portfolio selection under Volterra Heston model
• Mean variance hedging in a general jump market
• Hedging strategies for energy derivatives
• Cone-constrained continuous-time Markowitz problems
• On the structure of general mean-variance hedging strategies
• Variance-optimal hedging for time-changed Lévy processes
• Quadratic hedging schemes for non-Gaussian GARCH models
• A class of stochastic volatility models and theq-optimal martingale measure
• Mean-variance portfolio selection based on a generalized BNS stochastic volatility model
• Some properties of the variance-optimal martingale measure for discontinuous semimartingales

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