Mean-Variance Hedging and Numéraire

We consider the mean-variance hedging problem when the risky assets price process is a continuous semimartingale. The usual approach deals with self-financed portfolios with respect to the primitive assets family. By adding a numéraire as an asset to trade in, we show how self-financed portfolios may be expressed with respect to this extended assets family, without changing the set of attainable contingent claims. Copyright Blackwell Publishers Inc 1998.

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Year of publication:	1998
Authors:	Gourieroux, Christian ; Laurent, Jean Paul ; Pham, Huyên
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 8.1998, 3, p. 179-200
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008609859