Mean-variance hedging in the presence of estimation risk

DOI10.1007/s11147-021-09176-6zbMath1479.91394OpenAlexW3131212676MaRDI QIDQ2059297

Wan-Yi Chiu

Publication date: 13 December 2021

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-021-09176-6

zbMATH Keywords

mean-variance hedgingsignificance testinformation ratiominimum-variance hedgerisk-aversion coefficient

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Mathematical Finance

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