期刊文献+
共找到1篇文章
< 1 >
每页显示 20 50 100
CLAIM HEDGING IN AN INCOMPLETE MARKET
1
作者 SUNWangui wangchunfeng 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2005年第2期193-201,共9页
In this paper, we compare the performance of the optimal attainable payoffs (of a general claim) derived by the variance-optimal approach and the indifference argument under the mean-variance preference in an incomple... In this paper, we compare the performance of the optimal attainable payoffs (of a general claim) derived by the variance-optimal approach and the indifference argument under the mean-variance preference in an incomplete market. Both payoffs are expressed by the signed variance-optimal martingale measure. Our results are applied to the claim hedging under partial information. 展开更多
关键词 incomplete market variance-optimal approach indifference argument generalclaims partial information
原文传递
上一页 1 下一页 到第
使用帮助 返回顶部