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Dynamic programming and mean-variance hedging with partial execution risk

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  • Koichi Matsumoto

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Suggested Citation

  • Koichi Matsumoto, 2009. "Dynamic programming and mean-variance hedging with partial execution risk," Review of Derivatives Research, Springer, vol. 12(1), pages 29-53, April.
    • Handle: RePEc:kap:revdev:v:12:y:2009:i:1:p:29-53
    DOI: 10.1007/s11147-009-9033-6
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    References listed on IDEAS

    as
    1. Martin Schweizer, 1995. "Variance-Optimal Hedging in Discrete Time," Mathematics of Operations Research, INFORMS, vol. 20(1), pages 1-32, February.
    2. Huyên Pham, 2000. "On quadratic hedging in continuous time," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 51(2), pages 315-339, April.
    3. Jean-Paul Laurent & Huyen Pham, 1999. "Dynamic programming and mean-variance hedging," Post-Print hal-03675953, HAL.
    4. Takuji Arai, 2005. "An extension of mean-variance hedging to the discontinuous case," Finance and Stochastics, Springer, vol. 9(1), pages 129-139, January.
    5. Koichi Matsumoto, 2006. "Optimal portfolio of low liquid assets with a log-utility function," Finance and Stochastics, Springer, vol. 10(1), pages 121-145, January.
    6. Martin Schweizer & HuyËn Pham & (*), Thorsten RheinlÄnder, 1998. "Mean-variance hedging for continuous processes: New proofs and examples," Finance and Stochastics, Springer, vol. 2(2), pages 173-198.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Hedging; Derivatives; Liquidity; Execution; G13; 91B28; 93E20; 90C39;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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