Optimal hedging strategy for a portfolio investment problem with additional constraints

被引：0

作者：

Dokuchaev, NG ^{[1
]}

Teo, KL

机构：

[1] St Petersburg State Univ, Inst Math & Mech, St Petersburg 198904, Russia

[2] Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China

来源：

DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS | 2000年 / 7卷 / 03期

关键词：

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Consider a portfolio investment problem in a multi-stock diffusion stochastic financial market model with random appreciation rates, where additional constraints are required to be satisfied with probability 1. A general performance index is introduced. It covers many practically important performance indeces as special cases. Admissible strategies are assumed to use only observations of market prices. The appreciation rates are not assumed to be available. An optimal hedging strategy independent of current observation of the appreciation rates is obtained.

引用

页码：385 / 404

页数：20

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