Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-
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References listed on IDEAS
- Michael Mania & Marina Santacroce, 2010. "Exponential utility maximization under partial information," Finance and Stochastics, Springer, vol. 14(3), pages 419-448, September.
- Masaaki Fujii & Akihiko Takahashi, 2011. "Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme," Papers 1106.0123, arXiv.org, revised Jan 2012.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-15 (All new papers)
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