On the structure of general mean-variance hedging strategies

被引：64
|
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.
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页码：1479 / 1531
页数：53
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