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Locally risk-minimizing strategies in discrete time incomplete financial markets |
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| Authors: | Shengwu He Jianming Xia |
| Institution: | (1) Department of Statistics, East China Normal University, 200062 Shanghai, China |
| Abstract: | For discrete time case a characterization of locally risk-minimizing strategies is given. Based on this characterization, it is evident that risk-minimizing strategies must be locally risk-minimizing. |
| Keywords: | mathematical finance incomplete financial market locally risk-minimizing strategy |
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