Optimal contracts in continuous-time models.
Cvitanić, Jakša, Wan, Xuhu, Zhang, Jianfeng (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Cvitanić, Jakša, Wan, Xuhu, Zhang, Jianfeng (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Samuel Njoh (2007)
ESAIM: Probability and Statistics
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In many markets, especially in energy markets, electricity markets for instance, the detention of the physical asset is quite difficult. This is also the case for crude oil as treated by Davis (2000). So one can identify a good proxy which is an asset (financial or physical) (one)whose the spot price is significantly correlated with the spot price of the underlying ( electicity or crude oil). Generally, the market could become incomplete. We explicit exact hedging strategies for exponential...
Pierre-Louis Lions, Jean-Michel Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
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Schoenmakers, John G.M., Kloeden, Peter E. (1999)
Journal of Applied Mathematics and Stochastic Analysis
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Nikolai Dokuchaev (2010)
ESAIM: Control, Optimisation and Calculus of Variations
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The paper studies optimal portfolio selection for discrete time market models in mean-variance and goal achieving setting. The optimal strategies are obtained for models with an observed process that causes serial correlations of price changes. The optimal strategies are found to be myopic for the goal-achieving problem and quasi-myopic for the mean variance portfolio.
Ma, Jin, Wang, Yusun (2009)
Journal of Applied Mathematics and Stochastic Analysis
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Bouchard, Bruno, Temam, Emmanuel (2005)
Electronic Journal of Probability [electronic only]
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Klebaner, Fima (2002)
Electronic Communications in Probability [electronic only]
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Gideon, F., Mukuddem-Petersen, J., Petersen, M.A. (2007)
Journal of Applied Mathematics
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