Dynamic Hedging in Incomplete Markets: A Simple Solution

Georgy Chabakauri and Suleyman Basak
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Georgy Chabakauri: London Business School

No 594, 2009 Meeting Papers from Society for Economic Dynamics

Abstract: plausible economic environments. We also show that our results can be applied to portfolio management with tracking-error.

Date: 2009
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Related works:
Journal Article: Dynamic Hedging in Incomplete Markets: A Simple Solution (2012)
Working Paper: Dynamic Hedging in Incomplete Markets: A Simple Solution (2011)
Working Paper: Dynamic hedging in incomplete markets: a simple solution (2011)
Working Paper: Dynamic Hedging in Incomplete Markets: A Simple Solution (2011)
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