Dynamic programming and mean-variance hedging with partial execution risk
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
http://link.springer.com/content/pdf/10.1007/s11147-009-9033-6.pdf
Reference20 articles.
1. Arai T. (2005) An extension of mean-variance hedging to the discontinuous case. Finance and Stochastics 9: 129–139
2. Bertsimas D., Kogan L., Lo A.W. (2001) Hedging derivative securities and incomplete markets: An ϵ arbitrage approach. Operations Research 49: 372–397
3. Černý A. (2004) Dynamic programming and mean-variance hedging in discrete time. Applied Mathematical Finance 11: 1–25
4. Černý, A., & Kallsen, J. (2007a). Hedging by sequential regressions revisited. SSRN Working Paper. Mathematical Finance (to appear).
5. Çerný A.& Kallsen J. (2007b) On the structure of general mean-variance hedging strategies. Annals of Probability 35: 1479–1531
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