Browsing Documentos indexados pela Scopus by Subject "Ativos (Contabilidade)"

Now showing items 1-2 of 2

    • Mean-variance hedging strategies in discrete time and continuous state space 

      Costa, Oswaldo Luiz do Valle; Maiali, Andre Cury; Pinto, Afonso de Campos
      2006
      In this paper we consider the mean-variance hedging problem of a continuous state space financial model with the rebalancing strategies for the hedging portfolio taken at discrete times. An expression is derived for the ...

    • Pricing rules and Arrow-Debreu ambiguous valuation 

      Araújo, Aloísio Pessoa de; Chateauneuf, Alain; Faro, José Heleno
      2012
      This paper considers pricing rules of single-period securities markets with finitely many states. Our main result characterizes those pricing rules C that are super-replication prices of a frictionless and arbitrage-free ...