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Mean-Variance Hedging and Numéraire |
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| Authors: | Christian Gourieroux,Jean Paul Laurent,& Huyê n Pham |
| Affiliation: | CREST, Laboratoire de Finance‐Assurance, France.; Equipe d'Analyse et de Mathématiques Appliquées, Universitéde Marne la Vallée, and CREST |
| Abstract: | |
| Keywords: | hedging numéraire incomplete markets artificial extension optimization duality relation variance-optimal martingale measure |