Dynamic Mean-Variance Optimisation Problems with Deterministic Information
dc.contributor.author
Schweizer, Martin
dc.contributor.author
Zivoi, Danijel
dc.contributor.author
Sikic, Mario
dc.date.accessioned
2018-01-05T14:00:58Z
dc.date.available
2018-01-05T11:39:35Z
dc.date.available
2018-01-05T14:00:58Z
dc.date.issued
2017
dc.identifier.other
10.2139/ssrn.3051199
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/225924
dc.language.iso
en
en_US
dc.publisher
Social Science Research Network (SSRN)
en_US
dc.subject
mean-variance hedging
en_US
dc.subject
mean-variance portfolio selection
en_US
dc.subject
restricted information
en_US
dc.subject
partial information
en_US
dc.subject
deterministic strategies
en_US
dc.subject
quadratic optimisation problems
en_US
dc.subject
financial markets
en_US
dc.subject
type (A) semimartingales
en_US
dc.title
Dynamic Mean-Variance Optimisation Problems with Deterministic Information
en_US
dc.type
Working Paper
dc.date.published
2017-10-12
ethz.journal.title
Swiss Finance Institute Research Paper
ethz.journal.volume
17-29
en_US
ethz.size
30 p.
en_US
ethz.code.jel
G1 - General Financial Markets::G11 - Portfolio Choice; Investment Decisions
en_US
ethz.code.jel
G1 - General Financial Markets::G13 - Contingent Pricing; Futures Pricing
en_US
ethz.code.jel
C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling::C61 - Optimization Techniques; Programming Models; Dynamic Analysis
en_US
ethz.code.jel
C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling::C60 - General
en_US
ethz.publication.place
Rochester, NY
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
en_US
ethz.date.deposited
2018-01-05T11:39:36Z
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2018-01-05T14:01:00Z
ethz.rosetta.lastUpdated
2019-02-02T14:03:20Z
ethz.rosetta.versionExported
true
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Working Paper [5290]