Advanced search
Publication Cover
Stochastic Analysis and Applications Volume 25, 2007 - Issue 1
Submit an article Journal homepage
67
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

Investment with Sequence Losses in an Uncertain Environment and Mean-Variance Hedging

Wencai Chen Department of Mathematics, Shanghai Jiaotong University, Shanghai, P.R. ChinaCorrespondence[email protected]
,
Dewen Xiong Department of Mathematics, Shanghai Jiaotong University, Shanghai, P.R. China
&
Zhongxing Ye Department of Mathematics, Institute for Contemporary Finance, Shanghai Jiaotong University, Shanghai, P.R. China
Pages 55-71 | Received 21 Oct 2005, Accepted 01 Jun 2006, Published online: 15 Dec 2006

REFERENCES

  • Delbaen , F. , and Schachermayer , W. 1996 . The variance-optimal martingale measure for continuous processes . Bernoulli 2 : 81 – 105 . [CSA]
  • Gourieroux , C. , Laurent , J.P. , and Pham , H. 1998 . Mean-variance hedging and numeraire . Math. Fin. 8 ( 3 ): 179 – 200 . [CSA] [CROSSREF]
  • Laurent , J.P. , and Pham , H. 1999 . Dynamic programming and mean-variance headging . Finance and Stochastics 3 : 83 – 110 . [CSA] [CROSSREF]
  • Rheinländer , M. , and Schweizer , M. 1997 . On L 2-projections on a space of stochastic integrals . Annals of Probability 25 : 1810 – 1831 . [CSA]
  • Kohlmann , M. , and Tang , S. 2003 . Multidimensional backward stochastic riccati equations and applications . SIAM Journal on Control and Optimization 41 : 1696 – 1721 . [CSA] [CROSSREF]
  • Kohlmann , M. , and Tang , S. 2003 . Minimization of risk and linear quadratic optimal control theory . SIAM Journal on Control and Optimization 42 : 1118 – 1142 . [CSA] [CROSSREF]
  • Zhou , X.Y. , and Li , D. 2000 . Continuous-time mean-variance portfolio selection: A stochastic LQ framework . Appl. Math. Optim. 42 : 19 – 33 . [CSA] [CROSSREF]
  • Lim , A.E.B. , and Zhou , X.Y. 2002 . Mean-variance portfolio selection with random parameters in a complete market . Math. Oper. Res. 27 ( 1 ): 101 – 120 . [CSA] [CROSSREF]
  • Lim , A.E.B. 2004 . Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market . Mathematics of Operations Research 29 ( 1 ): 132 – 161 . [CSA] [CROSSREF]
  • Bobrovnytska , O. , and Schweizer , M. 2004 . Mean-variance headging and stochatic control: beyond the Brownian setting . IEEE Transactions on Automatic Control 49 ( 3 ): 396 – 408 . [CSA] [CROSSREF]
  • Jacod , J. 1979 . Calcul Stochastique et Problèmes de Martingales . Lecture Notes in Maths. Springer , Berlin , 714 .
  • Hu , Y. , and Zhou , X.Y. 2003 . Indefinite stochastic riccati equations . SIAM Journal on Control and Optimization 42 : 123 – 137 . [CSA] [CROSSREF]
  • Luenberger , D.G. 1968 . Optimization by Vector Space Methods . John Wiley , New York .
  • Supported by National Natural Science Foundation of China under Grant No. 10171066 and Shanghai Key Project under Grant No. 02DJ14063

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.