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July 2007 On the structure of general mean-variance hedging strategies
Aleš Černý, Jan Kallsen
Ann. Probab. 35(4): 1479-1531 (July 2007). DOI: 10.1214/009117906000000872

Abstract

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.

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Aleš Černý. Jan Kallsen. "On the structure of general mean-variance hedging strategies." Ann. Probab. 35 (4) 1479 - 1531, July 2007. https://doi.org/10.1214/009117906000000872

Information

Published: July 2007
First available in Project Euclid: 8 June 2007

zbMATH: 1124.91028
MathSciNet: MR2330978
Digital Object Identifier: 10.1214/009117906000000872

Subjects:
Primary: 60G48 , 60H05 , 91B28 , 93E20

Keywords: incomplete markets , Mean-variance hedging , opportunity process , opportunity-neutral measure

Rights: Copyright © 2007 Institute of Mathematical Statistics

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Vol.35 • No. 4 • July 2007
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