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~institution:"Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät"
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mean-variance hedging
2
Föllmer-Schweizer decomposition
1
adaptive estimation
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exchange rates
1
hedging
1
incomplete markets
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locally risk-minimizing
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locally risk-minimizing strategies
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mean-variance tradeoff
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minimal martingale measure
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option pricing
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quadratic hedging criteria
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risk-minimization
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transaction costs
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variance-optimal martingale measure
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Schweizer, Martin
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Lamberton, Damien
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Mercurio, Danilo
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Pham, Huyên
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Torricelli, Costanza
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
11
C.E.P.R. Discussion Papers
7
Collegio Carlo Alberto, Università degli Studi di Torino
6
Faculteit Economie en Bedrijfswetenschappen, Hogeschool-Universiteit Brussel (HUBrussel)
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Henley Business School, University of Reading
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Finance Discipline Group, Business School
5
School of Economics and Management, University of Aarhus
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University of Bonn, Germany
5
Centre Emile Bernheim, Solvay Brussels School of Economics and Management
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
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Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
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HAL
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IÉSEG School of Management, Université Catholique de Lille
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Tilburg University, Center for Economic Research
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Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
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Department of Economics and Business, Universitat Pompeu Fabra
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Department of Economics, University of Alberta
3
Département de Sciences Économiques, Université de Montréal
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EconWPA
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European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ.
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Fachbereich Wirtschaftswissenschaften, Universität Duisburg-Essen
3
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Fakultät Wirtschaftswissenschaften, Technische Universität Dresden
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London School of Economics (LSE)
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Tinbergen Instituut
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Université Paris-Dauphine (Paris IX)
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CESifo
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Departamento de Economía, Universidad Carlos III de Madrid
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Department of Economics and Finance, College of Business and Economics
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Department of Economics, City University
2
Department of Economics, University of Connecticut
2
Department of Economics, University of Crete
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Dipartimento di Scienze Economiche, Facoltà di Economia
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Institut für Future Energy Consumer Needs and Behavior (FCN), E.ON Energy Research Center
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Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät
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Institute for the Study of Labor (IZA)
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Estimation and arbitrage opportunities for exchange rate baskets
Mercurio, Danilo
;
Torricelli, Costanza
-
Sonderforschungsbereich 373, Quantifikation und …
-
2001
currency basket, i.e. a linear combination of foreign currencies. In line with the
mean-variance
hedging approach, we determine …
Persistent link: https://www.econbiz.de/10010956612
Saved in:
2
A guided tour through quadratic hedging approaches
Schweizer, Martin
-
Sonderforschungsbereich 373, Quantifikation und …
-
1999
mean-variance
hedging, the variance-optimal martingale measure and the connections to closeness properties of spaces of …
Persistent link: https://www.econbiz.de/10010983801
Saved in:
3
Local risk-minimization under transaction costs
Lamberton, Damien
;
Pham, Huyên
;
Schweizer, Martin
-
Sonderforschungsbereich 373, Quantifikation und …
-
1998
incomplete market in discrete time. Under the assumptions of a bounded
mean-variance
tradeoff, substantial risk and a …
Persistent link: https://www.econbiz.de/10010983431
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