FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2102063802> ?p ?o ?g. }

• W2102063802 endingPage "161" @default.
• W2102063802 startingPage "132" @default.
• W2102063802 abstract "This paper concerns the problems of quadratic hedging and pricing, and mean-variance portfolio selection in an incomplete market setting with continuous trading, multiple assets, and Brownian information. In particular, we assume throughout that the parameters describing the market model may be random processes. We approach these problems from the perspective of linear-quadratic (LQ) optimal control and backward stochastic differential equations (BSDEs); that is, we focus on the so-called stochastic Riccati equation (SRE) associated with the problem. Excepting certain special cases, solvability of the SRE remains an open question. Our primary theoretical contribution is a proof of existence and uniqueness of solutions of the SRE associated with the quadratic hedging and mean-variance problems. In addition, we derive closed-form expressions for the optimal portfolios and efficient frontier in terms of the solution of the SRE. A generalization of the Mutual Fund Theorem is also obtained." @default.
• W2102063802 created "2016-06-24" @default.
• W2102063802 creator A5040810296 @default.
• W2102063802 date "2004-02-01" @default.
• W2102063802 modified "2023-10-11" @default.
• W2102063802 title "Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market" @default.
• W2102063802 cites W1511896630 @default.
• W2102063802 cites W1963901383 @default.
• W2102063802 cites W1974162151 @default.
• W2102063802 cites W1991510170 @default.
• W2102063802 cites W2002788332 @default.
• W2102063802 cites W2006776755 @default.
• W2102063802 cites W2009841254 @default.
• W2102063802 cites W2022610613 @default.
• W2102063802 cites W2027827748 @default.
• W2102063802 cites W2041550349 @default.
• W2102063802 cites W2050593112 @default.
• W2102063802 cites W2062229217 @default.
• W2102063802 cites W2064978316 @default.
• W2102063802 cites W2076846099 @default.
• W2102063802 cites W2078895915 @default.
• W2102063802 cites W2080097136 @default.
• W2102063802 cites W2082094090 @default.
• W2102063802 cites W2086139156 @default.
• W2102063802 cites W2090220594 @default.
• W2102063802 cites W2094206697 @default.
• W2102063802 cites W2114102890 @default.
• W2102063802 cites W2132621139 @default.
• W2102063802 cites W2141858721 @default.
• W2102063802 cites W2148080284 @default.
• W2102063802 cites W2157047632 @default.
• W2102063802 cites W2157726608 @default.
• W2102063802 cites W2157883119 @default.
• W2102063802 cites W2161868629 @default.
• W2102063802 cites W2261883883 @default.
• W2102063802 cites W4212780424 @default.
• W2102063802 cites W4250820565 @default.
• W2102063802 doi "https://doi.org/10.1287/moor.1030.0065" @default.
• W2102063802 hasPublicationYear "2004" @default.
• W2102063802 type Work @default.
• W2102063802 sameAs 2102063802 @default.
• W2102063802 citedByCount "148" @default.
• W2102063802 countsByYear W21020638022012 @default.
• W2102063802 countsByYear W21020638022013 @default.
• W2102063802 countsByYear W21020638022014 @default.
• W2102063802 countsByYear W21020638022015 @default.
• W2102063802 countsByYear W21020638022016 @default.
• W2102063802 countsByYear W21020638022017 @default.
• W2102063802 countsByYear W21020638022018 @default.
• W2102063802 countsByYear W21020638022019 @default.
• W2102063802 countsByYear W21020638022020 @default.
• W2102063802 countsByYear W21020638022021 @default.
• W2102063802 countsByYear W21020638022022 @default.
• W2102063802 countsByYear W21020638022023 @default.
• W2102063802 crossrefType "journal-article" @default.
• W2102063802 hasAuthorship W2102063802A5040810296 @default.
• W2102063802 hasConcept C10138342 @default.
• W2102063802 hasConcept C109354906 @default.
• W2102063802 hasConcept C121955636 @default.
• W2102063802 hasConcept C126255220 @default.
• W2102063802 hasConcept C129844170 @default.
• W2102063802 hasConcept C133425853 @default.
• W2102063802 hasConcept C134306372 @default.
• W2102063802 hasConcept C144237770 @default.
• W2102063802 hasConcept C154945302 @default.
• W2102063802 hasConcept C162324750 @default.
• W2102063802 hasConcept C170131372 @default.
• W2102063802 hasConcept C196083921 @default.
• W2102063802 hasConcept C2524010 @default.
• W2102063802 hasConcept C2777021972 @default.
• W2102063802 hasConcept C2780821815 @default.
• W2102063802 hasConcept C28826006 @default.
• W2102063802 hasConcept C33923547 @default.
• W2102063802 hasConcept C41008148 @default.
• W2102063802 hasConcept C51485801 @default.
• W2102063802 hasConcept C51955184 @default.
• W2102063802 hasConcept C81917197 @default.
• W2102063802 hasConcept C91575142 @default.
• W2102063802 hasConceptScore W2102063802C10138342 @default.
• W2102063802 hasConceptScore W2102063802C109354906 @default.
• W2102063802 hasConceptScore W2102063802C121955636 @default.
• W2102063802 hasConceptScore W2102063802C126255220 @default.
• W2102063802 hasConceptScore W2102063802C129844170 @default.
• W2102063802 hasConceptScore W2102063802C133425853 @default.
• W2102063802 hasConceptScore W2102063802C134306372 @default.
• W2102063802 hasConceptScore W2102063802C144237770 @default.
• W2102063802 hasConceptScore W2102063802C154945302 @default.
• W2102063802 hasConceptScore W2102063802C162324750 @default.
• W2102063802 hasConceptScore W2102063802C170131372 @default.
• W2102063802 hasConceptScore W2102063802C196083921 @default.
• W2102063802 hasConceptScore W2102063802C2524010 @default.
• W2102063802 hasConceptScore W2102063802C2777021972 @default.
• W2102063802 hasConceptScore W2102063802C2780821815 @default.
• W2102063802 hasConceptScore W2102063802C28826006 @default.
• W2102063802 hasConceptScore W2102063802C33923547 @default.
• W2102063802 hasConceptScore W2102063802C41008148 @default.
• W2102063802 hasConceptScore W2102063802C51485801 @default.
• W2102063802 hasConceptScore W2102063802C51955184 @default.

• next