Numeraire-Invariant Quadratic Hedging and Mean-Variance Portfolio Allocation

• 成果类型: Article; Early Access
• 署名作者: Cerny, Ales; Czichowsky, Christoph; Kallsen, Jan
• 署名单位: City St Georges, University of London; University of London; London School Economics & Political Science; University of Kiel
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2023.1374
• 发表日期: 2023
• 关键词: selection; martingales; securities; arbitrage

摘要

The paper investigates quadratic hedging in a semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numeraire change is established. This permits direct computation of the optimal strategy without choosing a reference asset and/or performing a numeraire change. New explicit expressions for optimal strategies are obtained, featuring the use of oblique projections that provide unified treatment of the case with and without a risk-free asset. The analysis yields a streamlined computation of the efficient frontier for the pure investment problem in terms of three easily interpreted processes. The main result advances our understanding of the efficient frontier formation in the most general case in which a risk-free asset may not be present. Several illustrations of the numeraire-invariant approach are given.