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Mean-variance hedging under multiple defaults risk

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Submitted on : Tuesday, June 23, 2020 - 4:14:05 PM
Last modification on : Wednesday, August 4, 2021 - 3:03:07 AM


  • HAL Id : hal-02879243, version 1


Sebastien Choukroun, Stéphane Goutte, Armand Ngoupeyou. Mean-variance hedging under multiple defaults risk. Stochastic Analysis and Applications, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2015, 33 (5), pp.757-791. ⟨hal-02879243⟩



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