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- Titel:
On the Structure of General Mean-Variance Hedging Strategies
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- Cerny, A.; Kallsen, J.
- Nicht-TUM Koautoren:
- ja
- Kooperation:
- international
- 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
- Intellectual Contribution:
- Discipline-based Research
- Zeitschriftentitel:
- The Annals of Probability
- Jahr:
- 2007
- Band / Volume:
- 35
- Heft / Issue:
- 4
- Seitenangaben Beitrag:
- 1479-1531
- Sprache:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- commissioned:
- not commissioned
- Professional Journal:
- Nein
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