The paper investigates quadratic hedging in a general semimartingale market that does not necessarily contain risk-free asset. An equivalence result for with and without numeraire change is established. This permits direct computation of the optimal strategy choosing reference asset and/or performing change. New explicit expressions strategies are obtained, featuring use oblique projections pro...

This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained model into a special LQ optimal control and develop policy of model. In addition, we provide an alternative method to resolve this constraints. More specifically, instead solving correspondent HJB equation directly, solution for by using properties value ...