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MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES

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References

1998Optimal trading strategy for an investor: the case of partial information231 cited
1996The Variance-Optimal Martingale Measure for Continuous Processes192 cited
1998Mean‐Variance Hedging and Numéraire179 cited
1997On $L^2$-projections on a space of stochastic integrals93 cited
1994RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION90 cited

Cited by

2015Time-consistent investment strategy under partial information30 cited
2008Mean-Variance Hedging Under Partial Information24 cited
2016Equilibrium Investment Strategy for a DC Plan With Partial Information and Mean–Variance Criterion20 cited
2010Utility-Based Valuation and Hedging of Basis Risk With Partial Information19 cited

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