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Optimal robust mean-variance hedging in incomplete financial markets - MaRDI portal

Optimal robust mean-variance hedging in incomplete financial markets (Q2255960)

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Optimal robust mean-variance hedging in incomplete financial markets
scientific article

    Statements

    title
    Optimal robust mean-variance hedging in incomplete financial markets (English)
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    author
    Yanyan Li
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    publication date
    18 February 2015
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    zbMATH Keywords
    mean-variance hedging
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    optimal \(B\)-robust estimate
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    incomplete financial markets
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    cites work
    Q3815091
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    Q3723487
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    Q3774629
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    Q4841576
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    Q4259279
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    Q4139359
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    Q2709768
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    Q4001511
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    Q4350437
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    Q2726707
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60H10
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    60G44
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    zbMATH DE Number
    6405623
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    OpenAlex ID
    W2962771748
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    arXiv ID
    0805.0122
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