Mean-variance portfolio choice: Quadratic partial hedging

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	Mean-variance portfolio choice: Quadratic partial hedging
	Xia, JM
	2005-07-01
发表期刊	MATHEMATICAL FINANCE
ISSN	0960-1627
卷号	15 期号:3 页码:533-538
摘要	In this paper we investigate the problem of mean-variance portfolio choice with bankruptcy prohibition. For incomplete markets with continuous assets' price processes and for complete markets, it is shown that the mean-variance efficient portfolios can be expressed as the optimal strategies of partial hedging for quadratic loss function. Thus, mean-variance portfolio choice, in these cases, can be viewed as expected utility maximization with non-negative marginal utility.
关键词	mean-variance portfolios utility maximization partial hedging incomplete markets
语种	英语
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Business, Finance ; Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000229680700006
出版者	WILEY-BLACKWELL
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1972
专题	应用数学研究所
通讯作者	Xia, JM
作者单位	Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Xia, JM. Mean-variance portfolio choice: Quadratic partial hedging[J]. MATHEMATICAL FINANCE,2005,15(3):533-538.
APA	Xia, JM.(2005).Mean-variance portfolio choice: Quadratic partial hedging.MATHEMATICAL FINANCE,15(3),533-538.
MLA	Xia, JM."Mean-variance portfolio choice: Quadratic partial hedging".MATHEMATICAL FINANCE 15.3(2005):533-538.