Mean–Variance Hedging And Optimal Investment In Heston'S Model With Correlation
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DOI: 10.1111/j.1467-9965.2008.00342.x
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- Aleš Černý & Jan Kallsen, 2008. "A Counterexample Concerning The Variance‐Optimal Martingale Measure," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 305-316, April.
- Alev{s} v{C}ern'y & Jan Kallsen, 2007. "On the Structure of General Mean-Variance Hedging Strategies," Papers 0708.1715, arXiv.org, revised Jul 2017.
- Liao Wang & Johannes Wissel, 2013. "Mean-variance hedging with oil futures," Finance and Stochastics, Springer, vol. 17(4), pages 641-683, October.
- Alev{s} v{C}ern'y & Christoph Czichowsky, 2022. "The law of one price in quadratic hedging and mean-variance portfolio selection," Papers 2210.15613, arXiv.org, revised Jan 2024.
- Černý, Aleš & Maccheroni, Fabio & Marinacci, Massimo & Rustichini, Aldo, 2012.
"On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility,"
Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 386-395.
- Ales Cerný & Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2008. "On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility," Carlo Alberto Notebooks 79, Collegio Carlo Alberto.
- Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Mean–variance asset–liability management with asset correlation risk and insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 300-310.
- Jan Kallsen & Arnd Pauwels, 2011. "Variance-Optimal Hedging for Time-Changed Levy Processes," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(1), pages 1-28.
- Wanyang Dai, 2014. "Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes," Papers 1410.0991, arXiv.org, revised Aug 2015.
- Flavio ANGELINI & Stefano HERZEL, 2012. "Delta Hedging in Discrete Time under Stochastic Interest Rate," Quaderni del Dipartimento di Economia, Finanza e Statistica 110/2012, Università di Perugia, Dipartimento Economia.
- Marcos Escobar & Daniela Neykova & Rudi Zagst, 2015.
"Portfolio Optimization In Affine Models With Markov Switching,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-46.
- Marcos Escobar & Daniela Neykova & Rudi Zagst, 2014. "Portfolio Optimization in Affine Models with Markov Switching," Papers 1403.5247, arXiv.org.
- Aiqin Ma & Cuiyun Zhang & Yubing Wang, 2023. "Optimal Consumption and Investment Problem under 4/2-CIR Stochastic Hybrid Model," Mathematics, MDPI, vol. 11(17), pages 1-19, August.
- Dorival Le~ao & Alberto Ohashi & Vinicius Siqueira, 2013. "A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility," Papers 1308.1704, arXiv.org, revised Aug 2013.
- Yang Shen, 2020. "Effect of Variance Swap in Hedging Volatility Risk," Risks, MDPI, vol. 8(3), pages 1-34, July.
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