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Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time. (2020). Deng, Jun ; Zou, Bin.
In: Papers.
RePEc:arx:papers:2005.06015.

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  7. Duffie, D. and Richardson, H. R. (1991). Mean-variance hedging in continuous time. Annals of Applied Probability, 1(1):1–15.
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  8. Frei, C. and Westray, N. (2018). Optimal execution in hong kong given a market-on-close benchmark. Quantitative Finance, 18(4):655–671.

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  11. Pham, H., Rheinländer, T., and Schweizer, M. (1998). Mean-variance hedging for continuous processes: new proofs and examples. Finance and Stochastics, 2(2):173–198.

  12. Schäl, M. (1994). On quadratic cost criteria for option hedging. Mathematics of Operations Research, 19(1):121–131.
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  14. Schweizer, M. (1995). Variance-optimal hedging in discrete time. Mathematics of Operations Research, 20(1):1–32.

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  16. Schweizer, M. (2001). A guided tour through quadratic hedging approaches. In Jouini, E., Cvitanic, J., and Musiela, M., editors, Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management, pages 538–574. Cambridge University Press.

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    In: Papers.
    RePEc:arx:papers:2005.06015.

    Full description at Econpapers || Download paper

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