On the structure of general mean-variance hedging strategies

• 成果类型: Article
• 署名作者: Cerny, Ales; Kallsen, Jan
• 署名单位: City St Georges, University of London; Technical University of Munich; Aalto University
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/009117906000000872
• 发表日期: 2007
• 页码: 1479-1531
• 关键词: martingale measure; portfolio

摘要

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.