Quadratic Hedging with Margin Requirements and Portfolio Constraints

We consider a mean-variance portfolio optimization problem, namely, a problem of minimizing the variance of the final wealth that results from trading over a fixed finite horizon in a continuous-time complete market in the presence of convex portfolio constraints, taking into account the cost imposed b...

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Bibliographic details
Main Author: Tazhitdinova, Alisa
Format: Dissertation
Language: English
Place of publication: University of Waterloo 2010
Data of publication: 2010
Discipline: Statistics
Online Access: available in Bonn?
Database: Networked Digital Library of Theses and Dissertations
University of Waterloo UWSpace
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