Mean-variance Hedging in the Discontinuous Case
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References listed on IDEAS
- Jianming Xia & Jia-An Yan, 2006. "Markowitz'S Portfolio Optimization In An Incomplete Market," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 203-216.
- Takuji Arai, 2005. "An extension of mean-variance hedging to the discontinuous case," Finance and Stochastics, Springer, vol. 9(1), pages 129-139, January.
- Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer, 1997. "Weighted norm inequalities and hedging in incomplete markets," Finance and Stochastics, Springer, vol. 1(3), pages 181-227.
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