Investment with Sequence Losses in an Uncertain Environment and Mean-Variance Hedging

DOI10.1080/07362990601051872zbMath1201.91183OpenAlexW2043031426MaRDI QIDQ3423695

Dewen Xiong, Wencai Chen, Zhong-Xing Ye

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990601051872

zbMATH Keywords

backward stochastic differential equationsstochastic Riccati equationmean-variance portfolio selectionvariance-optimal martingale measure

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (2)

Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process ⋮ Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition

Cites Work

• Calcul stochastique et problèmes de martingales
• Dynamic programming and mean-variance hedging
• On \(L^2\)-projections on a space of stochastic integrals
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• The variance-optimal martingale measure for continuous processes
• Mean-Variance Hedging and Numeraire
• Multidimensional Backward Stochastic Riccati Equations and Applications
• Indefinite Stochastic Riccati Equations
• Minimization of Risk and Linear Quadratic Optimal Control Theory
• Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting
• Convex Programming and Duality in Normed Space
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

This page was built for publication: Investment with Sequence Losses in an Uncertain Environment and Mean-Variance Hedging