Mean-variance hedging with basis risk

DOI10.1002/ASMB.2380MaRDI QIDQ6574589zbMATH OpenFDO

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

• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
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• Optimal hedging with basis risk
• Performance of utility-based strategies for hedging basis risk
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

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