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Multi-period Mean–Variance Hedging Problem with Model Risk

Koichi Matsumoto & Takahiro Suyama

Applied Mathematical Finance2024https://doi.org/10.1080/1350486x.2025.2529784article
AJG 2ABDC B
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0.38

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https://doi.org/https://doi.org/10.1080/1350486x.2025.2529784

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@article{koichi2024,
  title        = {{Multi-period Mean–Variance Hedging Problem with Model Risk}},
  author       = {Koichi Matsumoto & Takahiro Suyama},
  journal      = {Applied Mathematical Finance},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.1080/1350486x.2025.2529784},
}

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Multi-period Mean–Variance Hedging Problem with Model Risk

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Evidence weight

0.38

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.19 × 0.4 = 0.07
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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