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On the structure of general mean-variance hedging strategies

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 $P^{\star}$ which turns the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to $P^{\star}$ coincides with the variance-optimal martingale measure relative to the original probability measure $P$.
Year of publication:
2007-08
Authors: Ale\v{s} \v{C}ern\'y ; Kallsen, Jan
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Published in Annals of Probability 2007, Vol. 35, No. 4, 1479-1531
Source:
Persistent link: https://www.econbiz.de/10005098782
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