Mean-variance hedging in large financial markets
نویسندگان
چکیده
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, Laurent and Pham (1998) to this setting. We also consider, for all n ≥ 1, the market formed by the first n risky assets and study the solutions to the corresponding n-dimensional MVH problem and their behaviour when n tends to infinity.
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