Concepedia

Mean-variance Hedging

Mean-Variance Hedging is a financial risk management strategy that belongs to the class of quadratic hedging methods, distinguished by its optimization of the trade-off between the mean and variance of the hedging error in incomplete markets.

111

Publications

6.3K

Citations

179

Authors

152

Institutions

Publications per year

2017–2026

11

Parents

Publications

111

Mean-Variance Hedging in Continuous Time

Darrell Duffie, Henry R. Richardson · The Annals of Applied Probability · 1991 · 407 citations · Full text

, , +16

Variance-Optimal Hedging in Discrete Time

Martin Schweizer · Mathematics of Operations Research · 1995 · 354 citations

, , +15

Cross Hedging

Ronald W. Anderson, Jean‐Pierre Danthine · Journal of Political Economy · 1981 · 275 citations

, , +15

Mean-Variance Hedging for General Claims

Martin Schweizer · The Annals of Applied Probability · 1992 · 259 citations · Full text

, , +14

Mean-Variance Hedging of Options on Stocks with Markov Volatilities

Giovanni B. Di Masi, Yu. M. Kabanov, Wolfgang J. Runggaldier · Theory of Probability and Its Applications · 1995 · 198 citations

, , +17

1–5 of 111

Authors

179

  1. MS
    Martin Schweizer

    ETH Zurich, Switzerland

    8 publications · 1.1K citations

    8

    h-index

  2. FB
    Francesca Biagini

    Ludwig-Maximilians-Universität München, Germany

    6 publications · 219 citations

    6

    h-index

  3. AČ
    Aleš Černý

    City, University of London, United Kingdom

    6 publications · 183 citations

    6

    h-index

  4. MK
    Michael Kohlmann

    University of Konstanz, Germany

    5 publications · 300 citations

    5

    h-index

  5. JK
    Jan Kallsen

    Christian-Albrechts-Universität zu Kiel, Germany

    4 publications · 109 citations

    4

    h-index

1–5 of 179

Institutions

152

  1. ETH Zurich

    Zurich, Switzerland

    6 h-index

    6 publications

    234 citations

  2. Chinese University of Hong Kong

    Hong Kong, Hong Kong

    6 h-index

    8 publications

    415 citations

  3. City, University of London

    London, United Kingdom

    6 h-index

    7 publications

    200 citations

  4. Technische Universität Berlin

    Berlin, Germany

    5 h-index

    6 publications

    935 citations

  5. University of Konstanz

    Konstanz, Germany

    5 h-index

    5 publications

    300 citations

  6. Ludwig-Maximilians-Universität München

    Munich, Germany

    4 h-index

    7 publications

    154 citations

  7. Education University of Hong Kong

    Tai Po, Hong Kong

    4 h-index

    4 publications

    115 citations

  8. Centre de Recherche en Économie et Statistique

    Palaiseau, France

    4 h-index

    7 publications

    974 citations

1–8 of 152

Venues

  1. SSRN Electronic Journal

    Repository · 7 publications · 145 citations

    7

    h-index

  2. Finance and Stochastics

    6 publications · 590 citations

    6

    h-index

  3. Mathematical Finance

    6 publications · 502 citations

    6

    h-index

  4. Journal of Futures Markets

    5 publications · 176 citations

    5

    h-index

  5. Journal of Financial and Quantitative Analysis

    JFQA · 4 publications · 319 citations

    4

    h-index

1–5