The Annals of Applied Probability

Hedging Contingent Claims with Constrained Portfolios

Abstract

We employ a stochastic control approach to study the question of hedging contingent claims by portfolios constrained to take values in a given closed, convex subset of $\mathscr{R}^d$. In the framework of our earlier work for utility maximization with constrained portfolios, we extend results of El Karoui and Quenez on incomplete markets and treat the case of different interest rates for borrowing and lending.

Article information

Source
Ann. Appl. Probab. Volume 3, Number 3 (1993), 652-681.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
http://projecteuclid.org/euclid.aoap/1177005357

JSTOR
links.jstor.org

Digital Object Identifier
doi:10.1214/aoap/1177005357

Mathematical Reviews number (MathSciNet)
MR1233619

Zentralblatt MATH identifier
0825.93958

Citation

Cvitanic, Jaksa; Karatzas, Ioannis. Hedging Contingent Claims with Constrained Portfolios. The Annals of Applied Probability 3 (1993), no. 3, 652--681. doi:10.1214/aoap/1177005357. http://projecteuclid.org/euclid.aoap/1177005357.