Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints

DOI10.1239/aap/1354716590zbMath1277.60079OpenAlexW3121414793MaRDI QIDQ4906508

Christoph Czichowsky, Martin Schweizer

Publication date: 28 February 2013

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1354716590

zbMATH Keywords

convex dualityconstraintsstochastic integralmean-variance hedging

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (10)

Optional and predictable projections of normal integrands and convex-valued processes ⋮ Constrained mean-variance portfolio optimization for jump-diffusion process under partial information ⋮ Simplified mean-variance portfolio optimisation ⋮ Cone-constrained continuous-time Markowitz problems ⋮ Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations ⋮ Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics ⋮ Sensitivity analysis of the utility maximisation problem with respect to model perturbations ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim ⋮ On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios

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