Some applications of L2-hedging with a non-negative wealth process

DOI10.1080/135048697334836MaRDI QIDQ4541542zbMATH OpenOpenAlexFDO

Authors Ralf Korn

Publication date 4 September 2002

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/135048697334836

zbMATH Keywords

\(L^2\)-hedginghedge portfoliosecurities markets

Mathematics Subject Classification ID

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

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Cites work

• Approximating random variables by stochastic integrals
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 834023 (Why is no real title available?)
• Optimization Problems in the Theory of Continuous Trading

Cited in

(6)

• Quadratic minimization with portfolio and terminal wealth constraints
• Inconsistent investment and consumption problems
• Entrance times of random walks: with applications to pension fund modeling
• Continuous-time mean-variance portfolios: a comparison
• On mean-variance hedging under partial observations and terminal wealth constraints
• Deterministic mean-variance-optimal consumption and investment

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