Search Results - subject:"Mean-variance hedging"

Ma, Junmei; Wang, Chen; Xu, Wei - In: European journal of operational research : EJOR 321 (2025) 3, pp. 1021-1035

Persistent link: https://www.econbiz.de/10015409961

Kladívko, Kamil; Zervos, Mihail - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1213-1247

Persistent link: https://www.econbiz.de/10014370649

Baule, Rainer; Rosenthal, Philip - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-20

-term vanilla call option can be used for efficient hedging. Using a mean-variance hedging approach, we calculate optimal hedge …

Persistent link: https://www.econbiz.de/10013201333

Baule, Rainer; Rosenthal, Philip - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-20

-term vanilla call option can be used for efficient hedging. Using a mean-variance hedging approach, we calculate optimal hedge …

Persistent link: https://www.econbiz.de/10012813892

Gnoatto, Alessandro; Lavagnini, Silvia; Picarelli, Athena - 2022

Persistent link: https://www.econbiz.de/10013535748

Wang, Ling; Wong, Hoi Ying - In: Insurance / Mathematics & economics 99 (2021), pp. 25-41

Persistent link: https://www.econbiz.de/10012649205

Zhang, Yunbo; Drapeau, Samuel - In: Quantitative finance 21 (2021) 2, pp. 305-322

Persistent link: https://www.econbiz.de/10012424592

Chiu, Wan-Yi - In: Review of derivatives research 24 (2021) 3, pp. 221-241

Persistent link: https://www.econbiz.de/10012659670

Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 96 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012482737

Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - 2017 - This version: September 29, 2017

We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted …

Persistent link: https://www.econbiz.de/10011865489

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