An optimal multi-step quadratic risk-adjusted hedging strategy

DOI10.1016/J.JKSS.2012.04.008zbMATH Open1294.91195OpenAlexW2033485324MaRDI QIDQ2511814

Shih-Feng Huang, Meihui Guo

Publication date: 6 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2012.04.008

zbMATH Keywords

discrete time hedgingextended Girsanov principlemulti-step hedgingquadratic risk minimizationrisk-adjusted criterion

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Martingales with discrete parameter (60G42)

Related Items (3)

Quadratic Hedging with Mixed State and Control Constraints ⋮ A profitable modification to global quadratic hedging ⋮ An optimal combination of risk-return and naive hedging

This page was built for publication: An optimal multi-step quadratic risk-adjusted hedging strategy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2511814)