We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure P⋆ which turns the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to P⋆ coincides with the variance-optimal martingale measure relative to the original probability measure P.
"On the structure of general mean-variance hedging strategies." Ann. Probab. 35 (4) 1479 - 1531, July 2007. https://doi.org/10.1214/009117906000000872