Dynamic Mean-Variance Optimisation Problems with Deterministic Information

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Autor(in)
Schweizer, Martin
Zivoi, Danijel
Sikic, Mario
Datum
2017
Typ
    Working Paper
Publikationsstatus
published
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Zeitschrift / Serie
Swiss Finance Institute Research Paper
Band
17-29
Verlag
Social Science Research Network
Thema
mean-variance hedging; mean-variance portfolio selection; restricted information; partial information; deterministic strategies; quadratic optimisation problems; financial markets; type (A) semimartingales
Organisationseinheit
03658 - Schweizer, Martin / Schweizer, Martin  
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