Results 1 - 10 of 491

Optimal robust mean-variance hedging in incomplete financial markets

by N. Lazrieva, T. Toronjadze - Journal of Mathematical Sciences
"... Abstract. Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V-robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial mar ..."
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Abstract. Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V-robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial

Optimal mean-variance robust hedging under asset price model misspecification

by T. Toronjadze - Georgian Math. J
"... Abstract. The problem of constructing robust optimal in the mean-variance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance robu ..."
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Abstract. The problem of constructing robust optimal in the mean-variance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance

MEAN-VARIANCE HEDGING WHEN THERE ARE JUMPS

by Andrew E. B. Lim , 2005
"... In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem, and closed form e ..."
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In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem, and closed form

Mean-variance hedging when there are jumps

by unknown authors , 2005
"... In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem and closed form exp ..."
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In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem and closed form

Mean-variance Hedging in the Discontinuous Case

by Jianming Xia , 2006
"... The results on the mean-variance hedging problem in Gouriéroux, Laurent and Pham (1998), Rheinländer and Schweizer (1997) and Arai (2005) are extended to discontinuous semimartingale models. When the numéraire method is used, we only assume the Radon-Nikodym derivative of the variance-optimal signed ..."
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The results on the mean-variance hedging problem in Gouriéroux, Laurent and Pham (1998), Rheinländer and Schweizer (1997) and Arai (2005) are extended to discontinuous semimartingale models. When the numéraire method is used, we only assume the Radon-Nikodym derivative of the variance-optimal

Robust Mean-Variance Portfolio Selection

by Cédric Perret-Gentil, Maria-Pia Victoria-Feser , 2003
"... This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial for t ..."
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This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial

Mean-variance hedging for stochastic volatility models

by Francesca Biagini, Paolo Guasoni, Maurizio Pratelli - Mathematical Finance
"... Abstract. In this paper we discuss the tractability of stochastic volatility models for pricing and hedging options with the mean-variance hedging approach. We characterize the variance-optimal measure as the solution of an equation between Doleans exponentials: explicit examples include both models ..."
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Abstract. In this paper we discuss the tractability of stochastic volatility models for pricing and hedging options with the mean-variance hedging approach. We characterize the variance-optimal measure as the solution of an equation between Doleans exponentials: explicit examples include both

DYNAMIC PROGRAMMING AND MEAN-VARIANCE HEDGING IN DISCRETE TIME

by S. Gugushvili
"... Abstract. We consider the mean-variance hedging problem in the discrete time setting. Using the dynamic programming approach we obtain recurrent equations for an optimal strategy. Additionally, some technical restrictions of the previous works are removed. ..."
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Abstract. We consider the mean-variance hedging problem in the discrete time setting. Using the dynamic programming approach we obtain recurrent equations for an optimal strategy. Additionally, some technical restrictions of the previous works are removed.

Mean-variance Hedging Under Partial Information

by M. Mania, R. Tevzadze, T. Toronjadze , 2007
"... We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructed when only part of the information in the market is available. We show that the initial mean variance hedging problem i ..."
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We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructed when only part of the information in the market is available. We show that the initial mean variance hedging problem

Mean-Variance Hedging under Additional Market Information

by Frank Thierbach
"... In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional market information, which is represented by a given, finite set of observed prices of non-attainable contingent claims. Due to no-arbitrage arguments, our set of investment opportun ..."
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In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional market information, which is represented by a given, finite set of observed prices of non-attainable contingent claims. Due to no-arbitrage arguments, our set of investment
Results 1 - 10 of 491