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Journal Articles Finance and Stochastics Year : 1999

Dynamic programming and mean-variance hedging

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Computational Finance [q-fin.CP] Risk Management [q-fin.RM]

Jean-Paul LAURENT  : Connect in order to contact the contributor

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Submitted on : Monday, May 23, 2022-2:59:38 PM

Last modification on : Friday, March 24, 2023-2:53:27 PM

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hal-03675953 , version 1 (23-05-2022)

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Jean-Paul Laurent, Huyen Pham. Dynamic programming and mean-variance hedging. Finance and Stochastics, 1999, ⟨10.1007/s007800050053⟩. ⟨hal-03675953⟩

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UNIV-PARIS1 X GENES CNRS ENSAE PARISTECH CREST ENSAI X-CREST UNIV-EIFFEL PRISM-SORBONNE SORBONNE-RECHERCHE-MANAGEMENT
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