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Mean-variance hedging with uncertain trade execution
Matsumoto, Koichi - In: Applied mathematical finance 16 (2009) 3/4, pp. 219-252
Persistent link: https://www.econbiz.de/10003916153
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Optimal portfolio of low liquid assets with a log-utility function
Matsumoto, Koichi - In: Finance and stochastics 10 (2006) 1, pp. 121-145
Persistent link: https://www.econbiz.de/10003234960
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Mean-variance hedging with model risk
Matsumoto, Koichi - In: International journal of financial engineering 4 (2017) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10011807096
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Portfolio insurance with liquidity risk
Matsumoto, Koichi - In: Asia-Pacific financial markets 14 (2007) 4, pp. 363-386
Persistent link: https://www.econbiz.de/10003757840
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Hedging derivatives on two assets with model risk
Matsumoto, Koichi; Shimizu, Keita - In: Asia Pacific financial markets 27 (2020) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10012222377