Mean-Variance Analysis of Alternative Hedging Strategies

Mean-variance Hedging of Defaultable Claims

Mean-Variance Hedging When There Are Jumps

In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem and closed form expressions for the optimal hedging policy are obtained using methods from stochastic control and th...

Mean-Variance Hedging Under Partial Information

We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructed when only part of the information in the market is available. We show that the initial mean variance hedging problem is equivalent to a new mean variance hedging problem with an additional correction term, which is ...

Mean-Variance Hedging under Additional Market Information

In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional market information, which is represented by a given, finite set of observed prices of non-attainable contingent claims. Due to no-arbitrage arguments, our set of investment opportunities increases and the set of possible equivalent martingale measures shrinks. Therefore, we obt...

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,...