A counterexample concerning the variance-optimal martingalle measure
Černý, A. & Kallsen, J. (2008). A counterexample concerning the variance-optimal martingalle measure. Mathematical Finance, 18(2), pp. 305-316. doi: 10.1111/j.1467-9965.2007.00334.x
Abstract
The present note addresses an open question concerning a sufficient characterization of the variance-optimal martingale measure.
| Publication Type: | Article |
|---|---|
| Publisher Keywords: | Social Sciences, Science & Technology, Physical Sciences, Business, Finance, Economics, Mathematics, Interdisciplinary Applications, Social Sciences, Mathematical Methods, Business & Economics, Mathematics, Mathematical Methods In Social Sciences, BUSINESS, FINANCE, ECONOMICS, MATHEMATICS, INTERDISCIPLINARY APPLICATIONS, SOCIAL SCIENCES, MATHEMATICAL METHODS, variance-optimal martingale measure, dual characterization |
| Subjects: | Q Science > QA Mathematics |
| Departments: | Bayes Business School > Finance |
| SWORD Depositor: |
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