MINIMAL VARIANCE HEDGING FOR INSIDER TRADING

被引：20

作者：

Biagini, Francesca ^{[1
]}

Oksendal, Bernt ^{[2
,3
]}

机构：

[1] LMU, Dept Math, Theresienstr 39, D-80333 Munich, Germany

[2] Univ Oslo, CMA, Dept Math, N-0316 Oslo, Norway

[3] Norwegian Sch Econ & Business Adm, N-5045 Bergen, Norway

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2006年 / 9卷 / 08期

关键词：

Forward integral; Malliavin calculus; minimal variance; insider hedging; meanvariance insider hedging;

D O I：

10.1142/S0219024906003998

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we first study the problem of minimal hedging for an insider trader in incomplete markets. We use the forward integral in order to model the insider portfolio and consider a general larger filtration. We characterize the optimal strategy in terms of a martingale condition. In the second part we focus on a problem of mean-variance hedging where the insider tries to minimize the variance of his wealth at time T given that this wealth has a fixed expected value A. We solve this problem for an initial enlargement of filtration by providing an explicit solution.

引用

页码：1351 / 1375

页数：25

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