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Construction of a mean-square optimal hedge with limited investment - MaRDI portal

Construction of a mean-square optimal hedge with limited investment

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Publication:1780242

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DOI10.1023/B:CASA.0000034450.50374.1FzbMath1125.91337OpenAlexW1966053578MaRDI QIDQ1780242

Yu. V. Bondarenko

Publication date: 7 June 2005

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:casa.0000034450.50374.1f

zbMATH Keywords

optimization hedging martingale measure Lagrangian function numéraire mean square criterion

Mathematics Subject Classification ID

Quadratic programming (90C20)

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