Variance-optimal martingale measures for diffusion processes with stochastic coefficients
type: Item
instance of: scholarly article
title: Variance-optimal martingale measures for diffusion processes with stochastic coefficients
zbMATH Open document ID: 1405.60056
author: Daniel Hernández-Hernández
published in: Set-Valued and Variational Analysis
publication date: 2019-01-16T00:00:00Z
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 7002706
zbMATH Keywords: quadratic hedging
zbMATH Keywords: mean variance portfolio
zbMATH Keywords: variance-optimal martingale measure
zbMATH Keywords: risk sensitive control
MaRDI profile type: Publication
full work available at URL: s11228-017-0435-6
OpenAlex ID: W2724350792
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DOI: 10.1007/S11228-017-0435-6
description: scientific article; zbMATH DE number 7002706