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Dynamic programming and mean-variance hedging

Citations

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Cited by:

  1. René Caldentey & Martin Haugh, 2006. "Optimal Control and Hedging of Operations in the Presence of Financial Markets," Mathematics of Operations Research, INFORMS, vol. 31(2), pages 285-304, May.
  2. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-," CARF F-Series CARF-F-332, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  3. Andrew E. B. Lim, 2004. "Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market," Mathematics of Operations Research, INFORMS, vol. 29(1), pages 132-161, February.
  4. 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.
  5. Vicky Henderson, 2002. "Analytical Comparisons of Option prices in Stochastic Volatility Models," OFRC Working Papers Series 2002mf03, Oxford Financial Research Centre.
  6. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-," CIRJE F-Series CIRJE-F-891, CIRJE, Faculty of Economics, University of Tokyo.
  7. Carmine De Franco & Peter Tankov & Xavier Warin, 2012. "Numerical methods for the quadratic hedging problem in Markov models with jumps," Papers 1206.5393, arXiv.org, revised Dec 2013.
  8. Jakub Trybuła & Dariusz Zawisza, 2019. "Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case," Mathematics of Operations Research, INFORMS, vol. 44(3), pages 966-987, August.
  9. Dariusz Zawisza, 2020. "On the parabolic equation for portfolio problems," Papers 2003.13317, arXiv.org, revised Oct 2020.
  10. N. Dokuchaev & U. Haussmann, 2001. "Optimal portfolio selection and compression in an incomplete market," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 336-345, March.
  11. Leitner, Johannes, 2000. "Mean-Variance Efficiency and Intertemporal Price for Risk," CoFE Discussion Papers 00/35, University of Konstanz, Center of Finance and Econometrics (CoFE).
  12. Kohlmann, Michael & Tang, Shanjian, 2000. "Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging," CoFE Discussion Papers 00/26, University of Konstanz, Center of Finance and Econometrics (CoFE).
  13. Yang Shen, 2020. "Effect of Variance Swap in Hedging Volatility Risk," Risks, MDPI, vol. 8(3), pages 1-34, July.
  14. Kohlmann, Michael & Tang, Shanjian, 2000. "Recent Advances in Backward Stochastics Riccati Equations and Their Applications," CoFE Discussion Papers 00/30, University of Konstanz, Center of Finance and Econometrics (CoFE).
  15. Michael Mania & Revaz Tevzadze, 2008. "Backward Stochastic PDEs Related to the Utility Maximization Problem," ICER Working Papers - Applied Mathematics Series 07-2008, ICER - International Centre for Economic Research.
  16. Francesca Biagini & Paolo Guasoni & Maurizio Pratelli, 2000. "Mean‐Variance Hedging for Stochastic Volatility Models," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 109-123, April.
  17. Thorsten Rheinländer, 2005. "An entropy approach to the Stein and Stein model with correlation," Finance and Stochastics, Springer, vol. 9(3), pages 399-413, July.
  18. Dokuchaev, Nikolai & Yu Zhou, Xun, 2001. "Optimal investment strategies with bounded risks, general utilities, and goal achieving," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 289-309, April.
  19. M. Mania & R. Tevzadze, 2003. "Backward Stochastic PDE and Imperfect Hedging," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(07), pages 663-692.
  20. David Hobson, 2004. "STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE," Mathematical Finance, Wiley Blackwell, vol. 14(4), pages 537-556, October.
  21. Antje Mahayni, 2003. "Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(05), pages 521-552.
  22. Tahir Choulli & Jun Deng, 2014. "Structure conditions under progressively added information," Papers 1403.3459, arXiv.org, revised Dec 2018.
  23. Leitner, Johannes, 2000. "Utility Maximization and Duality," CoFE Discussion Papers 00/34, University of Konstanz, Center of Finance and Econometrics (CoFE).
  24. Samuel Drapeau & Yunbo Zhang, 2019. "Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model," Papers 1910.08344, arXiv.org, revised May 2020.
  25. Jakub Trybu{l}a & Dariusz Zawisza, 2014. "Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences-Stochastic Factor Case," Papers 1403.3212, arXiv.org, revised Jan 2020.
  26. Mostovyi, Oleksii, 2020. "Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4444-4469.
  27. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market," Papers 1306.3359, arXiv.org, revised Nov 2013.
  28. Wang, Yumin, 2009. "Quantile hedging for guaranteed minimum death benefits," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 449-458, December.
  29. Stephane Goutte & Armand Ngoupeyou, 2012. "Optimization problem and mean variance hedging on defaultable claims," Papers 1209.5953, arXiv.org.
  30. Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2005. "A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation," Review of Derivatives Research, Springer, vol. 8(1), pages 5-25, June.
  31. Wanyang Dai, 2014. "Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes," Papers 1410.0991, arXiv.org, revised Aug 2015.
  32. Kohlmann, Michael & Tang, Shanjian, 2000. "Multi-Dimensional Backward Stochastic Riccati Equations, and Applications," CoFE Discussion Papers 00/29, University of Konstanz, Center of Finance and Econometrics (CoFE).
  33. Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2003. "A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation," OFRC Working Papers Series 2003mf02, Oxford Financial Research Centre.
  34. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market," CARF F-Series CARF-F-321, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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