Mean-variance hedging with basis risk
From MaRDI portal
Publication:6574589
DOI10.1002/asmb.2380MaRDI QIDQ6574589
Jingong Zhang, Chengguo Weng, Xiaole Xue
Publication date: 18 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Mean-variance hedging in continuous time
- Mean-variance hedging for general claims
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- An example of indifference prices under exponential preferences
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
- Measuring Basis Risk in Longevity Hedges
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Backward Stochastic Differential Equations in Finance
- Performance of utility-based strategies for hedging basis risk
- 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
- Malliavin Calculus for Lévy Processes with Applications to Finance
This page was built for publication: Mean-variance hedging with basis risk
