The law of one price in quadratic hedging and mean-variance portfolio selection

The law of one price (LOP) broadly asserts that identical financial flows should command the same price. We show that, when properly formulated, LOP is the minimal condition for a well-defined mean-variance portfolio selection framework without degeneracy. Crucially, the paper identifies a new mecha...

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Hauptverfasser:	Černý, Aleš, Czichowsky, Christoph
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Optimization and Control Quantitative Finance - Portfolio Management
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