Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
Year of publication: |
2010-11-05
|
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Authors: | Czichowsky, Christoph ; Schweizer, Martin |
Institutions: | National Centre of Competence in Research - Financial Valuation and Risk Management |
Subject: | Hedging | Portfoliomanagement | portfolio management | Dualität | Handelshemmnis | trading constraints |
Extent: | 399360 bytes 33 p. application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | Specific management methods ; Study of commerce ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
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