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)

Full work available at URL https://doi.org/10.1287/MOOR.2023.1374

zbMATH Keywords

mean-variance portfolio selectionno risk-free assetnumeraire changeoblique projectionquadratic hedging

Mathematics Subject Classification ID

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

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Cited in

(1)

• Time-consistent asset allocation for risk measures in a Lévy market

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