Some applications of L2-hedging with a non-negative wealth process
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DOI: 10.1080/135048697334836
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Cited by:
- Andrew Heunis, 2015. "Quadratic minimization with portfolio and terminal wealth constraints," Annals of Finance, Springer, vol. 11(2), pages 243-282, May.
- Jia-Wen Gu & Mogens Steffensen, 2015. "Optimal Portfolio Liquidation and Dynamic Mean-variance Criterion," Papers 1510.09110, arXiv.org.
- Jarner, Søren Fiig & Kronborg, Morten Tolver, 2016. "Entrance times of random walks: With applications to pension fund modeling," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 1-20.
- Vitalii Makogin & Alexander Melnikov & Yuliya Mishura, 2017. "On Mean–Variance Hedging Under Partial Observations And Terminal Wealth Constraints," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-21, August.
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Keywords
Hedging; Portfolio Optimization; Continuous Trading; Complete; Incomplete; Markets;All these keywords.
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