Mean-Variance Hedging
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Author / Producer
Date
2010
Publication Type
Encyclopedia Entry
ETH Bibliography
yes
Citations
Altmetric
METADATA ONLY
Data
Rights / License
Permanent link
Publication status
published
Editor
Book title
Encyclopedia of Quantitative Finance
Journal / series
Volume
3
Pages / Article No.
1177 - 1181
Publisher
Wiley
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Hedging; Portfolio choice; Quadratic criterion; Variance-optimal martingale measure; Mean-variance trade-off; Linear-quadratic stochastic control; Backward stochastic differential equations
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin