Some applications of L2-hedging with a non-negative wealth process

DOI10.1080/135048697334836zbMath1009.91019OpenAlexW1974480280MaRDI QIDQ4541542

Ralf Korn

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048697334836

zbMATH Keywords

securities marketshedge portfolio\(L^2\)-hedging

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

Entrance times of random walks: with applications to pension fund modeling ⋮ ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS ⋮ Deterministic mean-variance-optimal consumption and investment ⋮ Continuous-time mean-variance portfolios: a comparison ⋮ Quadratic minimization with portfolio and terminal wealth constraints ⋮ Inconsistent investment and consumption problems

Cites Work

• Approximating random variables by stochastic integrals
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