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Mean-Variance Hedging

Published:2010-05-15 Issue: Volume: Page:
ISSN:
Container-title:Encyclopedia of Quantitative Finance
language:
Short-container-title:

Author:

Schweizer Martin

Publisher

John Wiley & Sons, Ltd

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/9780470061602.eqf14025/fullpdf

Reference62 articles.

1. Some remarks on mean-variance hedging for discontinuous asset price processes;Arai;International Journal of Theoretical and Applied Finance,2005

2. Bruno de Finetti and the case of the critical line's last segment;Barone;Insurance: Mathematics and Economics,2008

3. Quadratic hedging methods for defaultable claims;Biagini;Applied Mathematics and Optimization,2007

4. Mean-variance hedging for stochastic volatility models;Biagini;Mathematical Finance,2000

Cited by 18 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. Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients;ESAIM: Control, Optimisation and Calculus of Variations;2024

2. Numeraire-Invariant Quadratic Hedging and Mean–Variance Portfolio Allocation;Mathematics of Operations Research;2023-05-24

3. Option pricing in an investment risk-return setting;Applied Economics;2021-10-07

4. Non-parametric Pricing and Hedging of Exotic Derivatives;Applied Mathematical Finance;2020-11-01

5. Gambler’s ruin problem and bi-directional grid constrained trading and investment strategies;Investment Management and Financial Innovations;2020-08-14

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