Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên - In: Mathematical Finance 8 (1998) 3, pp. 179-200
We consider the mean-variance hedging problem when the risky assets price process is a continuous semimartingale. The usual approach deals with self-financed portfolios with respect to the primitive assets family. By adding a numéraire as an asset to trade in, we show how self-financed...