Mean–Variance Hedging

By Martin Schweizer. 2010

53 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/6bb57484144d984ee21a6dc075b899aaff891a85

Citations in the corpus

• MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (2008, unknown): “The computational procedure described above appears to be signi…cantly shorter, more transparent and economically intuitive than the use of socalled fundamental representation equations proposed in Biagini et al. (2000) and Hobson (2004).”
• Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure (2014, unknown): “e next section. 4 THEVARIANCE-OPTIMALSIGNEDSUPERMARTINGALEMEASURE It has been well known that the problems of mean-variance portfolio selection and mean-variance hedging have a strong connection (see Schweizer (2010)). Xia and Yan (2006) showed that in an unconstrained incomplete market, the optimal”