Mean-Variance Hedging

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Author
Schweizer, Martin
Date
2010
Type
    Encyclopedia Entry
Publication status
published
External links
Editor
Cont, Rama
Book title
Encyclopedia of Quantitative Finance
Volume
3
Pages / Article No.
1177 - 1181
Publisher
Wiley
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  
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