Browsing Documentos indexados pela Scopus by Subject "Hedge (Finanças)"

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    • 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 ...