Local risk-minimization under the benchmark approach
Francesca Biagini; Alessandra Cretarola; Eckhard Platen
| Year of publication: |
2014
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|---|---|
| Authors: | Biagini, Francesca ; Cretarola, Alessandra ; Platen, Eckhard |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 8.2014, 2, p. 109-134
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| Subject: | Local risk-minimization | Föllmer-Schweizer decomposition | Numéraire portfolio | Benchmark approach | Real world pricing | Portfolio-Management | Portfolio selection | Bewertung | Evaluation | Dekompositionsverfahren | Decomposition method | Benchmarking | Theorie | Theory | Risiko | Risk | Messung | Measurement | Derivat | Derivative | Hedging | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010341774