منابع مشابه
Mean-variance hedging for continuous processes: New proofs and examples
Let X be a special semimartingale of the form X = X0 + M + ∫ d〈M〉 λ̂, denote by K̂ = ∫ λ̂ d〈M〉 λ̂ the mean-variance tradeoff process of X and by Θ the space of predictable processes θ for which the stochastic integral G(θ) = ∫ θdX is a square-integrable semimartingale. For a given constant c ∈ IR and a given square-integrable random variable H, the mean-variance optimal hedging strategy ξ minimizes...
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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,...
متن کاملMean-variance Hedging in the Discontinuous Case
The results on the mean-variance hedging problem in Gouriéroux, Laurent and Pham (1998), Rheinländer and Schweizer (1997) and Arai (2005) are extended to discontinuous semimartingale models. When the numéraire method is used, we only assume the Radon-Nikodym derivative of the variance-optimal signed martingale measure (VSMM) is non-zero almost surely (but may be strictly negative). When discuss...
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5 We present efficient partial differential equation (PDE) methods for continuous time mean6 variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. 7 The standard formulation of mean-variance optimal portfolio allocation problems, where the 8 total wealth is the underlying stochastic process, gives rise to a one-dimensional (1-D) non-linear 9 Hamilton-J...
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For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is an exponential of an additive process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived from the electricity market are performed.
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 1991
ISSN: 1050-5164
DOI: 10.1214/aoap/1177005978