Yulia Bondarenko

Goethe University Frankfurt - Faculty of Economics and Business Administration

Mertonstrasse 17-25

Uni-PF 77

Frankfurt am Main, D-60325

Germany

SCHOLARLY PAPERS

1

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210

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0

Scholarly Papers (1)

1.

Mean-Variance Hedging with Limited Capital - a Decomposition Result

Number of pages: 18 Posted: 27 Mar 2002
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE, Sal. Oppenheim Jr. & Cie. and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 210 (144,100)

Abstract:

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Mean-Variance hedging, risk management, limited capital, expected squared hedging error, optimal trading strategy, incomplete market, hedging numeraire