Non-Self-Financing Optimal Portfolio Selection
The paper addresses the mean variance hedging issue assuming the underlying trading strategy doesn't have to be self-financing, introducing a non-self-financing trading strategy with an extra jump noise source.
Featured in No. 42 on 27 Mar 2024 · 5 days after release · 0 citations today
- Released
- 22 Mar 2024
- First featured
- No. 42 · 27 Mar 2024
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4769146
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).