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Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging

Citations

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Cited by:

  1. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamaï, 2021. "Equilibrium asset pricing with transaction costs," Finance and Stochastics, Springer, vol. 25(2), pages 231-275, April.
  2. Xiaofei Shi & Daran Xu & Zhanhao Zhang, 2021. "Deep Learning Algorithms for Hedging with Frictions," Papers 2111.01931, arXiv.org, revised Dec 2022.
  3. Ying Hu & Xiaomin Shi & Zuo Quan Xu, 2022. "Non-homogeneous stochastic LQ control with regime switching and random coefficients," Papers 2201.01433, arXiv.org, revised Jul 2023.
  4. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-," CARF F-Series CARF-F-332, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  5. Andrew E. B. Lim, 2004. "Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market," Mathematics of Operations Research, INFORMS, vol. 29(1), pages 132-161, February.
  6. Panpan Zhang & Zuo Quan Xu, 2023. "Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching," Papers 2309.05003, arXiv.org, revised Sep 2024.
  7. Xiaofei Shi & Daran Xu & Zhanhao Zhang, 2023. "Deep learning algorithms for hedging with frictions," Digital Finance, Springer, vol. 5(1), pages 113-147, March.
  8. Xiaomin Shi & Zuo Quan Xu, 2024. "Constrained mean-variance investment-reinsurance under the Cram\'er-Lundberg model with random coefficients," Papers 2406.10465, arXiv.org.
  9. Mitsui, Ken-ichi & Tabata, Yoshio, 2008. "A stochastic linear-quadratic problem with Lévy processes and its application to finance," Stochastic Processes and their Applications, Elsevier, vol. 118(1), pages 120-152, January.
  10. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-," CIRJE F-Series CIRJE-F-891, CIRJE, Faculty of Economics, University of Tokyo.
  11. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," CARF F-Series CARF-F-348, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  12. Li, Bo & Huang, Tian, 2022. "Control variable parameterization and optimization method for stochastic linear quadratic models," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
  13. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," CARF F-Series CARF-F-338, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  14. Johannes Muhle-Karbe & Marcel Nutz & Xiaowei Tan, 2019. "Asset Pricing with Heterogeneous Beliefs and Illiquidity," Papers 1905.05730, arXiv.org, revised Mar 2020.
  15. Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2018. "Equilibrium Returns with Transaction Costs," Post-Print hal-01569408, HAL.
  16. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," Papers 1401.2314, arXiv.org, revised Jul 2014.
  17. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2024. "Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems," Finance and Stochastics, Springer, vol. 28(3), pages 813-863, July.
  18. Lukas Gonon & Johannes Muhle-Karbe & Xiaofei Shi, 2019. "Asset Pricing with General Transaction Costs: Theory and Numerics," Papers 1905.05027, arXiv.org, revised Apr 2020.
  19. Shaolin Ji & Hanqing Jin & Xiaomin Shi, 2017. "Mean-variance portfolio selection with nonlinear wealth dynamics and random coefficients," Papers 1705.06141, arXiv.org, revised Nov 2022.
  20. Johannes Muhle-Karbe & Xiaofei Shi & Chen Yang, 2020. "An Equilibrium Model for the Cross-Section of Liquidity Premia," Papers 2011.13625, arXiv.org.
  21. Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2018. "Equilibrium returns with transaction costs," Finance and Stochastics, Springer, vol. 22(3), pages 569-601, July.
  22. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," CIRJE F-Series CIRJE-F-914, CIRJE, Faculty of Economics, University of Tokyo.
  23. Roxana Dumitrescu & Redouane Silvente & Peter Tankov, 2024. "Price impact and long-term profitability of energy storage," Papers 2410.12495, arXiv.org.
  24. Chonghu Guan & Xiaomin Shi & Zuo Quan Xu, 2022. "Continuous-time Markowitz's mean-variance model under different borrowing and saving rates," Papers 2201.00914, arXiv.org, revised May 2023.
  25. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamai, 2019. "Equilibrium Asset Pricing with Transaction Costs," Papers 1901.10989, arXiv.org, revised Sep 2020.
  26. Chonghu Guan & Xiaomin Shi & Zuo Quan Xu, 2023. "Continuous-Time Markowitz’s Mean-Variance Model Under Different Borrowing and Saving Rates," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 167-208, October.
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