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  • Search: subject:"deterministic strategies"
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Year of publication
Subject
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Hedging 2 Mathematical programming 2 Mathematische Optimierung 2 Portfolio selection 2 Portfolio-Management 2 Theorie 2 Theory 2 Deterministic Strategies 1 Financial market 1 Finanzmarkt 1 Mean-Variance Hedging 1 Mean-Variance Portfolio Selection 1 Mean-variance hedging 1 Partial Information 1 Quadratic Optimisation Problems 1 Restricted Information 1 Stochastic process 1 Stochastischer Prozess 1 Type (A) Semimartingales 1 deterministic strategies 1 financial markets 1 mean-variance portfolio selection 1 partial information 1 quadratic optimization problems 1 restricted information 1 type (A) semimartingales 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Conference paper 1 Graue Literatur 1 Konferenzbeitrag 1 Non-commercial literature 1 Working Paper 1
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Language
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English 2
Author
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Schweizer, Martin 2 Zivoi, Danijel 2 Ṥikić, Mario 2
Published in...
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International journal of theoretical and applied finance 1 Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
Source
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Dynamic mean-variance optimisation problems with deterministic information
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 information. We work in a setting where the underlying price process S is a semimartingale, but not adapted to the filtration G which models the information available for...
Persistent link: https://www.econbiz.de/10011865489
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Cover Image
Dynamic mean-variance optimization problems with deterministic information
Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10011854586
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