On the structure of general mean-variance hedging strategies

被引：67

作者：

Cerny, Ales

Kallsen, Jan

机构：

[1] City Univ London, Cass Business Sch, London EC1Y 8TZ, England

[2] Tech Univ Munich, Zentrum Math, HVB Stiftungsinst Finanzmath, D-85747 Munich, Germany

[3] Aalto Univ, FIN-02150 Espoo, Finland

来源：

ANNALS OF PROBABILITY | 2007年 / 35卷 / 04期

关键词：

mean-variance hedging; opportunity process; opportunity-neutral measure; incomplete markets;

D O I：

10.1214/009117906000000872

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure P* which turns the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to P* coincides with the variance-optimal martingale measure relative to the original probability measure P.

引用

页码：1479 / 1531

页数：53

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