Mean-Variance Hedging in Large Financial Markets
نویسندگان
چکیده
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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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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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...
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2009
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362990903259223