Dynamic programming and mean-variance hedging with partial execution risk
Work
Year: 2009
Type: article
Source: Review of Derivatives Research
Author Koichi Matsumoto
Institution Kyushu University
Cites: 21
Cited by: 3
Related to: 10
FWCI: 0.264
Citation percentile (by year/subfield): 59.95
Subfield: Finance
Domain: Social Sciences
Open Access status: closed