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Mean-variance hedging under multiple defaults risk

Sebastien Choukroun 1 Stéphane Goutte 2 Armand Ngoupeyou 1 
1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 LED - Laboratoire d'Economie Dionysien
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https://hal-univ-paris8.archives-ouvertes.fr/hal-02879243
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Submitted on : Tuesday, June 23, 2020 - 4:14:05 PM
Last modification on : Sunday, June 26, 2022 - 5:24:51 AM

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  • HAL Id : hal-02879243, version 1

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Citation

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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