Dynamic Lp-hedging in discrete time under cone constraints

SIAM Journal on Control and Optimization

Volumn 38, Issue 3, 2000, Pages 665-682

  Pham, Huyên ^a  

^a UNIVERSITÉ PARIS DESCARTES   (France)

Author keywords

Constrained portfolios; Duality theory; Hedging; Stochastic control problem; Superhedging

Indexed keywords

EID: 0042570214     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012998341095     Document Type: Article

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