Imagen de Portada

The law of one price in quadratic hedging and mean-variance portfolio selection

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Černý, Aleš, Czichowsky, Christoph
Formato:	Preprint
Publicado:	2022
Materias:	Optimization and Control Portfolio Management
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
por: Černý, Aleš, et al.
Publicado: (2021)

Competitive optimal portfolio selection under mean-variance criterion
por: Shao, Guojiang, et al.
Publicado: (2025)

Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks
por: Shi, Xiaomin, et al.
Publicado: (2025)

Dynamically optimal portfolios for monotone mean--variance preferences
por: Černý, Aleš, et al.
Publicado: (2025)

Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach
por: Shi, Xiaomin, et al.
Publicado: (2024)

Some general results on risk budgeting portfolios
por: Fassino, Claudia, et al.
Publicado: (2026)

Risk management in multi-objective portfolio optimization under uncertainty
por: Becker, Yannick, et al.
Publicado: (2024)

Time consistent portfolio strategies for a general utility function
por: Mbodji, Oumar
Publicado: (2026)

On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
por: Bo, Lijun, et al.
Publicado: (2023)

Signature approach for pricing and hedging path-dependent options with frictions
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
por: Shi, Xiaomin, et al.
Publicado: (2024)

Bayesian Optimization for CVaR-based portfolio optimization
por: Millar, Robert, et al.
Publicado: (2025)

Relative portfolio optimization via a value at risk based constraint
por: Bäuerle, Nicole, et al.
Publicado: (2025)

Optimal Investment with Costly Expert Opinions
por: Knochenhauer, Christoph, et al.
Publicado: (2024)

Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints
por: Wang, Wenyuan, et al.
Publicado: (2024)

Time-consistent portfolio selection with monotone mean-variance preferences
por: Wang, Yike, et al.
Publicado: (2025)

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
por: Luxenberg, Eric, et al.
Publicado: (2022)

Portfolio Optimization of Indonesian Banking Stocks Using Robust Optimization
por: Winarty, Visca Tri, et al.
Publicado: (2025)

Quantitative Investment Diversification Strategies via Various Risk Models
por: Gharanchaei, Maysam Khodayari, et al.
Publicado: (2024)

Markowitz Portfolio Construction at Seventy
por: Boyd, Stephen, et al.
Publicado: (2024)

An extended Merton problem with relaxed benchmark tracking
por: Bo, Lijun, et al.
Publicado: (2023)

Uses of Sub-sample Estimates to Reduce Errors in Stochastic Optimization Models
por: Birge, John R.
Publicado: (2023)

Constrained Max Drawdown: a Fast and Robust Portfolio Optimization Approach
por: Dorador, Albert
Publicado: (2024)

Vector-valued robust stochastic control
por: Cialenco, Igor, et al.
Publicado: (2024)

Mean-Covariance Robust Risk Measurement
por: Nguyen, Viet Anh, et al.
Publicado: (2021)

Equilibrium Portfolio Selection under Utility-Variance Analysis of Log Returns in Incomplete Markets
por: Cao, Yue, et al.
Publicado: (2025)

Mean Field Game of Optimal Tracking Portfolio
por: Bo, Lijun, et al.
Publicado: (2025)

Portfolio Time Consistency and Utility Weighted Discount Rates
por: Mbodji, Oumar, et al.
Publicado: (2023)

Constructing an Investment Fund through Stock Clustering and Integer Programming
por: Gharanchaei, Maysam Khodayari, et al.
Publicado: (2024)

Variable selection for minimum-variance portfolios
por: Moura, Guilherme V., et al.
Publicado: (2025)

The bias of IID resampled backtests for rolling-window mean-variance portfolios
por: Paskaramoorthy, Andrew, et al.
Publicado: (2025)

Dynamic Factor Models with Forward-Looking Views
por: Abdelhakmi, Anas, et al.
Publicado: (2025)

The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization
por: Thormann, Marah-Lisanne, et al.
Publicado: (2024)

Worst-case values of target semi-variances with applications to robust portfolio selection
por: Cai, Jun, et al.
Publicado: (2024)

Non-conservative optimal transport
por: Kováčová, Gabriela, et al.
Publicado: (2025)

Erratum to "On the market viability under proportional transaction costs"
por: Bayraktar, Erhan, et al.
Publicado: (2013)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
por: Zhang, Panpan, et al.
Publicado: (2023)

Robustifying Conditional Portfolio Decisions via Optimal Transport
por: Nguyen, Viet Anh, et al.
Publicado: (2021)

A Penalty-Free Pipeline for Direct Quantum-Annealer Portfolio Optimization
por: Lozano, Luis
Publicado: (2026)

Distributionally Robust Deep Q-Learning
por: Lu, Chung I, et al.
Publicado: (2025)