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491
Optimal robust meanvariance hedging in incomplete financial markets
 Journal of Mathematical Sciences
"... Abstract. Optimal Brobust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal meanvariance robust (optimal Vrobust) trading strategy is find to hedge in meanvariance sense the contingent claim in incomplete financial mar ..."
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Abstract. Optimal Brobust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal meanvariance robust (optimal Vrobust) trading strategy is find to hedge in meanvariance sense the contingent claim in incomplete financial
Optimal meanvariance robust hedging under asset price model misspecification
 Georgian Math. J
"... Abstract. The problem of constructing robust optimal in the meanvariance 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 meanvariance robu ..."
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Abstract. The problem of constructing robust optimal in the meanvariance 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 meanvariance
MEANVARIANCE HEDGING WHEN THERE ARE JUMPS
, 2005
"... In this paper, we consider the problem of meanvariance 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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Cited by 8 (0 self)
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In this paper, we consider the problem of meanvariance 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
Meanvariance hedging when there are jumps
, 2005
"... In this paper, we consider the problem of meanvariance 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 meanvariance 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
Meanvariance Hedging in the Discontinuous Case
, 2006
"... The results on the meanvariance 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 RadonNikodym derivative of the varianceoptimal signed ..."
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The results on the meanvariance 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 RadonNikodym derivative of the varianceoptimal
Robust MeanVariance Portfolio Selection
, 2003
"... This paper investigates model risk issues in the context of meanvariance 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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Cited by 5 (0 self)
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This paper investigates model risk issues in the context of meanvariance 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
Meanvariance hedging for stochastic volatility models
 Mathematical Finance
"... Abstract. In this paper we discuss the tractability of stochastic volatility models for pricing and hedging options with the meanvariance hedging approach. We characterize the varianceoptimal measure as the solution of an equation between Doleans exponentials: explicit examples include both models ..."
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Cited by 15 (2 self)
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Abstract. In this paper we discuss the tractability of stochastic volatility models for pricing and hedging options with the meanvariance hedging approach. We characterize the varianceoptimal measure as the solution of an equation between Doleans exponentials: explicit examples include both
DYNAMIC PROGRAMMING AND MEANVARIANCE HEDGING IN DISCRETE TIME
"... Abstract. We consider the meanvariance 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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Cited by 1 (0 self)
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Abstract. We consider the meanvariance 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.
Meanvariance Hedging Under Partial Information
, 2007
"... We consider the meanvariance 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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Cited by 3 (0 self)
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We consider the meanvariance 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
MeanVariance Hedging under Additional Market Information
"... In this paper we analyse the meanvariance 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 nonattainable contingent claims. Due to noarbitrage arguments, our set of investment opportun ..."
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Cited by 2 (0 self)
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In this paper we analyse the meanvariance 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 nonattainable contingent claims. Due to noarbitrage arguments, our set of investment
Results 1  10
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491