Browsing University of Waterloo by Author "Tazhitdinova, Alisa"
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Quadratic Hedging with Margin Requirements and Portfolio Constraints
Tazhitdinova, Alisa (University of Waterloo, 2010-04-28)We consider a mean-variance portfolio optimization problem, namely, a problem of minimizing the variance of the final wealth that results from trading over a fixed finite horizon in a continuous-time complete market in the ...