On Mean–Variance Hedging Under Partial Observations And Terminal Wealth Constraints
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DOI: 10.1142/S0219024917500315
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Cited by:
- Martin Schweizer & Danijel Zivoi & Mario Šikić, 2018. "Dynamic Mean–Variance Optimization Problems With Deterministic Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-38, March.
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Keywords
Mean–variance hedging; partial information; observable and unobservable contingent claims; Clark–Ocone representation; semi-martingale approach; stochastic derivative; geometric Brownian motion;All these keywords.
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