ourselves to the traditional mean-variance portfolio setting, we test in a simple backtesting setup whether these efficiency …

randomness in the risky assets, into the decision-making process. Our work to this point is to investigate a multi-period mean–variance … the returns of the risky assets do. It is well known that the Markowitz's mean–variance portfolio selection problem is …

In this paper, we consider the problem of mean–variance hedging of a defaultable claim. We assume the underlying assets … existence of the solution of the mean–variance hedging problem to the existence of solution of a system of coupled backward … give the corresponding solution to the mean–variance hedging problem. Finally, we give some existence conditions and …