Dynamic programming and mean-variance hedging

Jean-Paul Laurent; Huyen Pham

doi:10.1007/s007800050053

Journal articles

Dynamic programming and mean-variance hedging

Jean-Paul Laurent ¹ Huyen Pham ^{1, 2}

1 CREST - Centre de Recherche en Économie et Statistique

2 UPEM - Université Paris-Est Marne-la-Vallée

Document type :

Journal articles

Domain :

Quantitative Finance [q-fin] / Computational Finance [q-fin.CP]

Quantitative Finance [q-fin] / Risk Management [q-fin.RM]

Complete list of metadata

https://hal-paris1.archives-ouvertes.fr/hal-03675953
Contributor : Jean-Paul LAURENT Connect in order to contact the contributor
Submitted on : Monday, May 23, 2022 - 2:59:38 PM
Last modification on : Wednesday, June 15, 2022 - 3:26:50 AM

Dynamic programming and mean-variance hedging

Identifiers

Collections

Citation

Export

Metrics

0

Dynamic programming and mean-variance hedging

Identifiers

Collections

Citation

Export

Share

Metrics

0