Claim pricing and hedging under market incompleteness and ``mean-variance preferences
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Publication:5943941
DOI10.1016/S0377-2217(00)00211-3zbMath1053.91064OpenAlexW1973477604MaRDI QIDQ5943941
Publication date: 2001
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0377-2217(00)00211-3
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Related Items (4)
The mean-variance investment problem in a constrained financial market ⋮ Simplified mean-variance portfolio optimisation ⋮ Indifference pricing of insurance-linked securities in a multi-period model ⋮ Pricing and hedging in incomplete markets with model uncertainty
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