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Mean-variance hedging with uncertain trade execution
Koichi Matsumoto
mathematics and information
Research output
:
Contribution to journal
›
Article
›
peer-review
2
Citations (Scopus)
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Mathematics
Initial Condition
50%
Contingent Claim
50%
Discrete Time
25%
Time Model
25%
Liquidity Risk
25%
Binomial Model
25%
Mean Variance
25%
Risky Asset
25%
Hedging Strategy
25%
Economics, Econometrics and Finance
Hedging
100%
Liquidity
25%