Dynamic Mean-Variance Optimisation Problems with Deterministic Information

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Author
Schweizer, Martin
Zivoi, Danijel
Sikic, Mario
Date
2017
Type
    Working Paper
Publication status
published
External links
Journal / series
Swiss Finance Institute Research Paper
Volume
17-29
Publisher
Social Science Research Network (SSRN)
Subject
mean-variance hedging; mean-variance portfolio selection; restricted information; partial information; deterministic strategies; quadratic optimisation problems; financial markets; type (A) semimartingales
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin  
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