Search Results - subject:"Local risk minimisation"

Time-consistent mean-variance portfolio selection in discrete and continuous time

Czichowsky, Christoph - In: Finance and Stochastics 17 (2013) 2, pp. 227-271

It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman’s optimality principle and therefore the usual dynamic programming approach fails. We develop a time-consistent formulation of this problem,...

Persistent link: https://www.econbiz.de/10010997077

Cross hedging with stochastic correlation

Ankirchner, Stefan; Heyne, Gregor - In: Finance and Stochastics 16 (2012) 1, pp. 17-43

Persistent link: https://www.econbiz.de/10009400201

Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking

Colwell, D.; El-Hassan, Nadima; Kwon, Oh-Kang - Finance Discipline Group, Business School - 2004

The solution to the problem of hedging contingent claims by local risk-minimisation has been considered in detail in …

Persistent link: https://www.econbiz.de/10005041739

Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation

Hoek, John van der; Platen, Eckhard - Finance Discipline Group, Business School - 1999

costs and frequent trading under local risk minimisation. The approach yields mean-self-financing strategies. The resulting …

Persistent link: https://www.econbiz.de/10004984510