m********i
发帖数: 298 | 1 Can you expain this in plain word? why we need it? and how we do it? and
references? thx |
b******k
发帖数: 58 | 2 A quick google search shows more than 5 articles on the first page about
dynamic mean-variance hedge, lazyass.
PS, I doubt the mean-variance has any practical uses in the industry due to
its flawed assumption in the return distribution. |
j****e
发帖数: 140 | 3 it does, partily because those readers don't understand stuff more
complicate than that.
to
【在 b******k 的大作中提到】
: A quick google search shows more than 5 articles on the first page about
: dynamic mean-variance hedge, lazyass.
: PS, I doubt the mean-variance has any practical uses in the industry due to
: its flawed assumption in the return distribution.
|
m********i
发帖数: 298 | 4 Can you say say that?
【在 j****e 的大作中提到】
: it does, partily because those readers don't understand stuff more
: complicate than that.
:
: to
|
m********i
发帖数: 298 | 5 I googled, and not too much info except the same 'misspecification' as you
said below.
to
【在 b******k 的大作中提到】
: A quick google search shows more than 5 articles on the first page about
: dynamic mean-variance hedge, lazyass.
: PS, I doubt the mean-variance has any practical uses in the industry due to
: its flawed assumption in the return distribution.
|
w*******d
发帖数: 8 | 6 Check out Robert Almgren's papers. You may find something useful. |
