Dynamic programming and mean-variance hedging with partial execution risk
Year of publication: |
2009
|
---|---|
Authors: | Matsumoto, Koichi |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 12.2009, 1, p. 29-53
|
Subject: | Hedging | Derivat | Derivative | Dynamische Optimierung | Dynamic programming |
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