Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market

Mathematics of Operations Research

Volumn 29, Issue 1, 2004, Pages 132-161

  Lim, Andrew E B ^a  

^a DEPARTMENT OF INDUSTRIAL ENGINEERING AND OPERATIONS RESEARCH   (United States)

Author keywords

Backward stochastic differential equations; Efficient frontier; Incomplete markets; Linear quadratic optimal control; Mean variance portfolio selection; Mutual Fund Theorem; Quadratic hedging; Stochastic Riccati equation

Indexed keywords

BOUNDARY CONDITIONS; INTEGRATION; LINEAR EQUATIONS; MARKETING; MATHEMATICAL MODELS; MATRIX ALGEBRA; OPTIMAL CONTROL SYSTEMS; PARTIAL DIFFERENTIAL EQUATIONS; PROBLEM SOLVING; RANDOM PROCESSES; RICCATI EQUATIONS; THEOREM PROVING;

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; LINEAR QUADRATIC OPTIMAL CONTROL; MEAN VARIANCE PORTFOLIO SELECTION; MUTUAL FUND THEOREM; QUADRATIC HEDGING; STOCHASTIC RICCATI EQUATION;

OPERATIONS RESEARCH;

EID: 4043065614     PISSN: 0364765X     EISSN: None     Source Type: Journal    
DOI: 10.1287/moor.1030.0065     Document Type: Article

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