Mean-Variance Hedging and Numeraire
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Publication:2707189
DOI10.1111/1467-9965.00052zbMath1020.91024OpenAlexW2157726608MaRDI QIDQ2707189
Christian Gouriéroux, Huyên Pham, Jean-Paul Laurent
Publication date: 29 March 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00052
optimizationhedgingincomplete marketsnuméraireduality relationvariance-optimal martingale measureartificial extension
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