On the structure of general mean-variance hedging strategies

DOI10.1214/009117906000000872zbMath1124.91028arXiv0708.1715OpenAlexW3124754868MaRDI QIDQ2373572

Aleš Černý, Jan Kallsen

Publication date: 12 July 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.1715

zbMATH Keywords

incomplete marketssemi-martingalesopportunity processopportunity-neutral measure

Mathematics Subject Classification ID

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