Numeraire-invariant quadratic hedging and mean-variance portfolio allocation

DOI10.1287/MOOR.2023.1374MaRDI QIDQ6563013zbMATH OpenFDO

Authors Aleš Černý, Christoph Czichowsky, Jan Kallsen

Publication date 27 June 2024

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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