منابع مشابه
Mean-variance hedging in large financial markets
We consider a mean-variance hedging (MVH) problem for an arbitrage-free large financial market, i.e. a financial market with countably many risky assets modelled by a sequence of continuous semimartingales. By using the stochastic integration theory for a sequence of semimartingales developed in De Donno and Pratelli (2003), we extend the results about change of numéraire and MVH of Gourieroux,...
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We consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. This system shows that in a continuous market, independence and correlation assumptions of assets lead to the same locally risk-minimizing portfolio. ...
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In incomplete financial markets not every given contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by coherent risk measures, introduced by Artzner et al. [1]. The dynamic optimization problem of finding a self-financing strategy that minimizes the coherent risk of the shortfall can be split into a static optimization problem and...
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We study the integrated operational and financial hedging decisions faced by a global firm who sells to both home and foreign markets. Production occurs either at a single facility located in one of the markets or at two facilities, one in each market. The company has to invest in capacity before the selling season starts when the demand in both markets and the currency exchange rate are uncert...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 1998
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.28.1.519076