Numeraire-Invariant Quadratic Hedging and Mean-Variance Portfolio Allocation

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 provide unified treatment case main advances our understanding efficient frontier formation most where may be present. Several illustrations numeraire-invariant approach given.