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$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE

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  • TAKUJI ARAI

    (Department of Economics, Keio University, 2-15-45 Mita, Minato-ku, Tokyo, 108-8345, Japan)

Abstract

The aim of this paper is to give an extension of the mean-variance hedging problem to the $\mathcal{L}^p$-setting, where 1

Suggested Citation

  • Takuji Arai, 2008. "$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(08), pages 869-888.
    • Handle: RePEc:wsi:ijtafx:v:11:y:2008:i:08:n:s0219024908005068
    DOI: 10.1142/S0219024908005068
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    References listed on IDEAS

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    1. Christian Bender & Christina Niethammer, 2008. "On q-optimal martingale measures in exponential Lévy models," Finance and Stochastics, Springer, vol. 12(3), pages 381-410, July.
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    Cited by:

    1. Takuji Arai & Muneki Kawaguchi, 2008. "q-Optimal Martingale Measures for Discrete Time Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 155-173, December.

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