Dynamic programming and mean-variance hedging with partial execution risk

DOI10.1007/S11147-009-9033-6zbMATH Open1168.91370OpenAlexW2071866639MaRDI QIDQ836034FDOQ836034

Authors: Koichi Matsumoto 

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

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Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• On the structure of general mean-variance hedging strategies
• A guided tour through quadratic hedging approaches
• Approximation pricing and the variance-optimal martingale measure
• Mean-variance hedging and numéraire
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• Variance-Optimal Hedging in Discrete Time
• Mean-variance hedging in continuous time
• Mean-variance hedging for continuous processes: New proofs and examples
• Optimal portfolio of low liquid assets with a log-utility function
• Dynamic programming and mean-variance hedging
• On quadratic hedging in continuous time
• On Quadratic Cost Criteria for Option Hedging
• On the Mean-Variance Hedging Problem
• An extension of mean-variance hedging to the discontinuous case
• Title not available (Why is that?)
• Dynamic programming and mean‐variance hedging in discrete time
• Title not available (Why is that?)

Cited In (6)

• Dynamic programming and mean‐variance hedging in discrete time
• Option replication in discrete time with illiquidity
• Optimal hedging through limit orders
• Mean-variance hedging with uncertain trade execution
• Dynamic mean-risk optimization in a binomial model
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