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- Title:
On the Structure of General Mean-Variance Hedging Strategies
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Cerny, A.; Kallsen, J.
- Non-TUM Co-author(s):
- ja
- Cooperation:
- 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
- Journal title:
- The Annals of Probability
- Year:
- 2007
- Journal volume:
- 35
- Journal issue:
- 4
- Pages contribution:
- 1479-1531
- Language:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- Commissioned:
- not commissioned
- Professional Journal:
- Nein
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