Hedging diffusion processes by local risk minimization with applications to index tracking-Reference-Cited by-同舟云学术

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Hedging diffusion processes by local risk minimization with applications to index tracking

Published:2007-07 Issue:7 Volume:31 Page:2135-2151
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Colwell David,El-Hassan Nadima,Kang Kwon Oh

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference7 articles.

1. Hedging of contigent claims under incomplete information;Föllmer,1991

2. Hedging of non-redundant contingent claims;Föllmer,1986

3. Portfolio selection;Markowitz;Journal of Finance,1952

4. A mean/variance analysis of tracking error;Roll;Journal of Portfolio Management,1992

5. Option hedging for semimartingales;Schweizer;Stochastic Processes and their Applications,1991

Cited by 12 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Decoding the Stock Market and GDP Relationship Over the Long Term: Implications for Index Fund Investments;Studies in Business and Economics;2024-08-01

2. Pricing vulnerable options under correlated skew Brownian motions;Journal of Futures Markets;2022-01-14

3. LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK;Probability in the Engineering and Informational Sciences;2021-03-01

4. Variance minimizing strategies for stochastic processes with applications to tracking stock indices;International Review of Finance;2019-10-31

5. Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models;Stochastic Analysis and Applications;2016-05-31

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