Mean-Variance Hedging Under Partial Information
Work
Year: 2008
Type: article
Abstract: We consider the mean-variance hedging problem under partial information. The underlying asset price process follows a continuous semimartingale, and strategies have to be constructed when only part of... more
Cites: 25
Cited by: 27
Related to: 10
FWCI: 1.718
Citation percentile (by year/subfield): 94.37
Subfield: Finance
Domain: Social Sciences
Open Access status: green