On the structure of general mean-variance hedging strategies

Annals of Probability

Volumn 35, Issue 4, 2007, Pages 1479-1531

  Černý, Aleš ^a,c   Kallsen, Jan ^b  

^a CITY UNIVERSITY   (United Kingdom)

^b TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^c CITY UNIVERSITY   (United Kingdom)

Author keywords

Incomplete markets; Mean variance hedging; Opportunity process; Opportunity neutral measure

Indexed keywords

EID: 40549134772     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/009117906000000872     Document Type: Article

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