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zbMath1057.60066MaRDI QIDQ3158925

Chun-Li Hou, Ioannis Karatzas

Publication date: 1 February 2005

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

duality approach mean-variance efficient portfolios variance-optimal portfolios

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Related Items (4)

On the structure of general mean-variance hedging strategies ⋮ A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus ⋮ Simplified mean-variance portfolio optimisation ⋮ Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints

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