A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE

DOI10.1111/J.1467-9965.2007.00334.XzbMATH Open1133.91397OpenAlexW3122558569WikidataQ125026112 ScholiaQ125026112MaRDI QIDQ5459960FDOQ5459960

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

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Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Approximating random variables by stochastic integrals
• On the structure of general mean-variance hedging strategies
• Mean-variance hedging for stochastic volatility models
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• On the minimal martingale measure and the möllmer-schweizer decomposition
• A Simple Counterexample to Several Problems in the Theory of Asset Pricing
• The variance-optimal martingale measure for continuous processes
• Weighted norm inequalities and hedging in incomplete markets
• On quadratic hedging in continuous time
• A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow

Cited In (10)

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

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