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Dynamic programming and mean-variance hedging with partial execution risk

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  • Koichi Matsumoto

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Abstract

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Suggested Citation

  • Koichi Matsumoto, 2009. "Dynamic programming and mean-variance hedging with partial execution risk," Review of Derivatives Research, Springer, vol. 12(1), pages 29-53, April.
  • Handle: RePEc:kap:revdev:v:12:y:2009:i:1:p:29-53
    DOI: 10.1007/s11147-009-9033-6
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    File URL: http://hdl.handle.net/10.1007/s11147-009-9033-6
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    References listed on IDEAS

    as
    1. Koichi Matsumoto, 2006. "Optimal portfolio of low liquid assets with a log-utility function," Finance and Stochastics, Springer, vol. 10(1), pages 121-145, January.
    2. Martin Schweizer & HuyËn Pham & (*), Thorsten RheinlÄnder, 1998. "Mean-variance hedging for continuous processes: New proofs and examples," Finance and Stochastics, Springer, vol. 2(2), pages 173-198.
    3. Takuji Arai, 2005. "An extension of mean-variance hedging to the discontinuous case," Finance and Stochastics, Springer, vol. 9(1), pages 129-139, January.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Hedging; Derivatives; Liquidity; Execution; G13; 91B28; 93E20; 90C39;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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