Numeraire-invariant quadratic hedging and mean-variance portfolio allocation

DOI10.1287/MOOR.2023.1374zbMATH Open1544.91282MaRDI QIDQ6563013FDOQ6563013

Authors: Aleš Černý, Christoph Czichowsky, Jan Kallsen 

Publication date: 27 June 2024

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Recommendations

• Mean-variance hedging and numéraire
• Dynamic programming and mean-variance hedging
• scientific article; zbMATH DE number 2145712
• On quadratic hedging in continuous time
• On the structure of general mean-variance hedging strategies

zbMATH Keywords

mean-variance portfolio selectionoblique projectionquadratic hedgingno risk-free assetnumeraire change

Mathematics Subject Classification ID

Portfolio theory (91G10) Generalizations of martingales (60G48)

This page was built for publication: Numeraire-invariant quadratic hedging and mean-variance portfolio allocation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6563013)