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Mathematical Finance
Volumn 15, Issue 3, 2005, Pages 533-538
Mean-variance portfolio choice: Quadratic partial hedging
Author keywords

Incomplete markets; Mean variance portfolios; Partial hedging; Utility maximization
Indexed keywords

EID: 22544457648     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2005.00231.x     Document Type: Article
Times cited : (40)
References (9)
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  • 2
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    • Efficient Hedging: Cost versus Shortfall Risk
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  • 3
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    • Continuous-time portfolio optimization under terminal wealth constraints
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    • (1995) Zeitschrift für Operations Research , vol.42 , pp. 69-92
    • Korn, R.1    Trautmann, S.2
  • 4
    • 0033249382 scopus 로고    scopus 로고
    • The asymptotic elasticity of utility functions and optimal investment in incomplete markets
    • KRAMKOV, D., and W. SCHACHERMAYER (1999): The Asymptotic Elasticity of Utility Functions and Optimal Investment in Incomplete Markets, Ann. Appl Prob. 9, 904-950.
    • (1999) Ann. Appl Prob. , vol.9 , pp. 904-950
    • Kramkov, D.1    Schachermayer, W.2
  • 5
    • 0346913242 scopus 로고    scopus 로고
    • Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
    • KRAMKOV, D., and W. SCHACHERMAYER (2003): Necessary and Sufficient Conditions in the Problem of Optimal Investment in Incomplete Markets, Ann. Appl. Prob. 13, 1504-1516.
    • (2003) Ann. Appl. Prob. , vol.13 , pp. 1504-1516
    • Kramkov, D.1    Schachermayer, W.2
  • 6
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    • Optimal dynamic portfolio selection: Multiperiod mean-variance formulation
    • Li, D., and W. L. NG (2000): Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation, Math. Finance 10, 387-406.
    • (2000) Math. Finance , vol.10 , pp. 387-406
    • Li, D.1    Ng, W.L.2
  • 7
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    • Portfolio Selection
    • MARKOWITZ, H. (1952): Portfolio Selection, J. Finance 7, 77-91.
    • (1952) J. Finance , vol.7 , pp. 77-91
    • Markowitz, H.1
  • 8
    • 0011090049 scopus 로고
    • Optimum consumption and portfolio rules in a continuous-time model
    • MERTON, R. C. (1971): Optimum Consumption and Portfolio Rules in a Continuous-Time Model, J. Econ. Theory 3, 373-413.
    • (1971) J. Econ. Theory , vol.3 , pp. 373-413
    • Merton, R.C.1
  • 9
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    • An analytic derivation of the efficient frontier
    • MERTON, R. C. (1972): An Analytic Derivation of the Efficient Frontier, J. Financial Quant. Anal. 1851-1872.
    • (1972) J. Financial Quant. Anal. , pp. 1851-1872
    • Merton, R.C.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.