Variance-optimal martingale measures for diffusion processes with stochastic coefficients

DOI10.1007/S11228-017-0435-6MaRDI QIDQ1711096zbMATH OpenOpenAlexFDO

Authors Daniel Hernández-Hernández

Publication date 16 January 2019

Published in Set-Valued and Variational Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11228-017-0435-6

zbMATH Keywords

mean variance portfolioquadratic hedgingrisk sensitive controlvariance-optimal martingale measure

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70)

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Cited in

(8)

• Some properties of the variance-optimal martingale measure for discontinuous semimartingales
• Mean-variance hedging for stochastic volatility models
• A semimartingale Bellman equation and the variance-optimal martingale measure
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• On the parabolic equation for portfolio problems
• Time-symmetric optimal stochastic control problems in space-time domains
• A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE
• Characterisation of optimal dual measures via distortion

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