ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS
Анотація
In this paper, a mean-square minimization problem under terminal wealth constraint with partial observations is studied. The problem is naturally connected to the mean–variance hedging (MVH) problem under incomplete information. A new approach to solving this problem is proposed. The paper provides a solution when the underlying pricing process is a square-integrable semi-martingale. The proposed method for study is based on the martingale representation. In special cases, the Clark–Ocone representation can be used to obtain explicit solutions. The results and the method are illustrated and supported by examples with two correlated geometric Brownian motions.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
Empirical Analysis of Estimates of Realized Volatility in Financial Risk Control Problems
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization
Constructing a Mean-Variance Optimal Hedge under a Limited Investment Capital
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization
On differentiability with respect to the initial data of the solution to an SDE with a Lévy noise and discontinuous coefficients
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization
Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization
Distance between the fractional Brownian motion and the space of adapted Gaussian martingales
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization
APPLICATION OF THE INVESTOR'S PROBLEM TO FINANCIAL MARKET OF SECURITIES
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization