Dynamic mean-variance optimization problems with deterministic information
Martin Schweizer, Danijel Zivoi, Mario S̆ikić
| Year of publication: |
March 2018
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|---|---|
| Authors: | Schweizer, Martin ; Zivoi, Danijel ; Ṥikić, Mario |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 2, p. 1-38
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| Subject: | Mean-variance hedging | mean-variance portfolio selection | restricted information | partial information | deterministic strategies | quadratic optimization problems | financial markets | type (A) semimartingales | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Hedging | Finanzmarkt | Financial market | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500115 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011854586