Infinite-Horizon Optimal Hedging Under Cone Constraints.

We address the issue of hedging in infinite horizon markets with a type of constraints that the set of feasible portfolio holdings forms a convex cone. We show that the minimum cost of hedging a liability stream is equal to its largest present value with respect to admissible stochastic discount factors, thus can be determined without finding an optimal hedging strategy

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Year of publication:	1999
Authors:	Huang, K.X.
Institutions:	Department of Economics, University of Minnesota
Subject:	FINANCIAL MARKET \| HEDGING

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Series:	Minnesota - Center for Economic Research.
Type of publication:	Book / Working Paper
Notes:	22 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G10 - General Financial Markets. General ; G20 - Financial Institutions and Services. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005609538