A utility maximization approach to hedging in incomplete markets
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DOI: 10.1007/s001860050100
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Cited by:
- Christoph Czichowsky, 2012. "Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time," Papers 1205.4748, arXiv.org.
- Richard J Martin, 2016. "Universal trading under proportional transaction costs," Papers 1603.06558, arXiv.org.
- Christoph Czichowsky, 2013. "Time-consistent mean-variance portfolio selection in discrete and continuous time," Finance and Stochastics, Springer, vol. 17(2), pages 227-271, April.
- Yumi Oum & Shmuel Oren & Shijie Deng, 2006. "Hedging quantity risks with standard power options in a competitive wholesale electricity market," Naval Research Logistics (NRL), John Wiley & Sons, vol. 53(7), pages 697-712, October.
- Junichi Imai, 2022. "A Numerical Method for Hedging Bermudan Options under Model Uncertainty," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 893-916, June.
- Friedrich Hubalek & Jan Kallsen & Leszek Krawczyk, 2006. "Variance-optimal hedging for processes with stationary independent increments," Papers math/0607112, arXiv.org.
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Keywords
Key words: Portfolio optimization; hedging; incomplete markets; local utility;All these keywords.
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