Mean-variance hedging with basis risk

DOI10.1002/ASMB.2380MaRDI QIDQ6574589FDOQ6574589

Authors: Xiaole Xue, Jingong Zhang, Chengguo Weng 

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

basis riskMalliavin derivativemean-variance analysisstochastic LQ controloptimal hedgingBSDE

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Title not available (Why is that?)
• Backward Stochastic Differential Equations in Finance
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• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
• Performance of utility-based strategies for hedging basis risk
• Optimal hedging with basis risk
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• An example of indifference prices under exponential preferences
• Mean-variance hedging in continuous time
• Title not available (Why is that?)
• Malliavin Calculus for Lévy Processes with Applications to Finance
• Dual method for continuous-time Markowitz's problems with nonlinear wealth equations

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