Mean-variance portfolio choice: Quadratic partial hedging
文献类型：期刊论文
| 作者 | Xia, JM
|
| 刊名 | MATHEMATICAL FINANCE
 |
| 出版日期 | 2005-07-01 |
| 卷号 | 15期号:3页码:533-538 |
| 关键词 | mean-variance portfolios utility maximization partial hedging incomplete markets |
| ISSN号 | 0960-1627 |
| 英文摘要 | In this paper we investigate the problem of mean-variance portfolio choice with bankruptcy prohibition. For incomplete markets with continuous assets' price processes and for complete markets, it is shown that the mean-variance efficient portfolios can be expressed as the optimal strategies of partial hedging for quadratic loss function. Thus, mean-variance portfolio choice, in these cases, can be viewed as expected utility maximization with non-negative marginal utility. |
| 语种 | 英语 |
| WOS记录号 | WOS:000229680700006 |
| 出版者 | WILEY-BLACKWELL |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/1971]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Xia, JM |
| 作者单位 | Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xia, JM. Mean-variance portfolio choice: Quadratic partial hedging[J]. MATHEMATICAL FINANCE,2005,15(3):533-538. |
| APA | Xia, JM.(2005).Mean-variance portfolio choice: Quadratic partial hedging.MATHEMATICAL FINANCE,15(3),533-538. |
| MLA | Xia, JM."Mean-variance portfolio choice: Quadratic partial hedging".MATHEMATICAL FINANCE 15.3(2005):533-538. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。