Dynamic programming and mean-variance hedging with partial execution risk
From MaRDI portal
Publication:836034
DOI10.1007/s11147-009-9033-6zbMath1168.91370OpenAlexW2071866639MaRDI QIDQ836034
Publication date: 31 August 2009
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-009-9033-6
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Mean-variance hedging in continuous time
- Dynamic programming and mean-variance hedging
- Mean-variance hedging for continuous processes: New proofs and examples
- On quadratic hedging in continuous time
- An extension of mean-variance hedging to the discontinuous case
- Approximation pricing and the variance-optimal martingale measure
- On the structure of general mean-variance hedging strategies
- Optimal portfolio of low liquid assets with a log-utility function
- Mean-Variance Hedging and Numeraire
- Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
- On Quadratic Cost Criteria for Option Hedging
- Dynamic programming and mean‐variance hedging in discrete time
- Variance-Optimal Hedging in Discrete Time
- On the Mean-Variance Hedging Problem
This page was built for publication: Dynamic programming and mean-variance hedging with partial execution risk
