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AN00234610-20070101-0079.pdf
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Download
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:372.5 KB
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:Nov 16, 2021 |
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Total downloads since Nov 16, 2021 : 948
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| Title |
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確率変数のLp-射影とその数理ファイナンスへの応用
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| Kana |
カクリツ ヘンスウ ノ Lp-シャエイ ト ソノ スウリ ファイナンス エノ オウヨウ
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Kakuritsu hensu no Lp-shaei to sono suri fainansu eno oyo
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Lp-projections of random variables and its application to finance
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新井, 拓児
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アライ, タクジ
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Arai, Takuji
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慶應義塾大学経済学部助教授
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慶應義塾経済学会
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ケイオウ ギジュク ケイザイ ガッカイ
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| Romanization |
Keio gijuku keizai gakkai
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2007
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三田学会雑誌
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Keio journal of economics
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| Volume |
99
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4
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2007
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1
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| Start page |
685(79)
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706(100)
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| Abstract |
本論文は, 平均分散ヘッジング(mean-variance hedging)とそのLp-空間(p 1)への拡張に関する拙著Arai [1], [2], [3] における結果を一部拡張し, 概説することを目的とする。
We aim to give an outline of Arai [1], [2] and [3], in which mean-variance hedging and its extension to Lp-space (p>1) are discussed.
In addition, a partial extension of the results in the above papers is also introduced.
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| History |
| Jun 4, 2014 | | フリーキーワード, 本文 を変更 |
| Jul 24, 2015 | | 抄録, 版, 本文 を変更 |
| Nov 16, 2021 | | JaLCDOI を変更 |
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