Dynamic hedging in incomplete markets: a simple solution
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More about this item
Keywords
hedging; incomplete markets; minimum-variance criterion; risk management; time-consistency; discrete hedging; derivatives; benchmarking; correlation risk; Poisson jumps;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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