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Mean-variance hedging under uncertain stock appreciation rates

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2002

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Tang, Shanjian

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WELLS, William R., ed.. 8th International Conference on Advances in Communication and Control : telecommunications / signal processing ; June 25 - 29, 2001, Crete, Greece. New York: Optimization Software, 2002, pp. 15-22. ISBN 0-911575-78-2

Zusammenfassung

We study the mean-variance hedging problem in an incomplete financial market where the stock appreciation rates are modeled by a random vector which has known distribution and is independent of the driving Brownian motion. The optimal hedging policy is derived explicitly and the approximation pricing equation is derived. The tools used here include backward stochastic differential equations, functional analysis (for the existence part), partially observed maximum principle and filtering theory (for the explicit solution). The separation principle turns out to hold.

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510 Mathematik

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8th International Conference on Advances in Communication and Control, 25. Juni 2001 - 29. Juni 2001, Crete, Greece
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ISO 690KOHLMANN, Michael, Shanjian TANG, 2002. Mean-variance hedging under uncertain stock appreciation rates. 8th International Conference on Advances in Communication and Control. Crete, Greece, 25. Juni 2001 - 29. Juni 2001. In: WELLS, William R., ed.. 8th International Conference on Advances in Communication and Control : telecommunications / signal processing ; June 25 - 29, 2001, Crete, Greece. New York: Optimization Software, 2002, pp. 15-22. ISBN 0-911575-78-2
BibTex
@inproceedings{Kohlmann2002Meanv-25842,
  year={2002},
  title={Mean-variance hedging under uncertain stock appreciation rates},
  isbn={0-911575-78-2},
  publisher={Optimization Software},
  address={New York},
  booktitle={8th International Conference on Advances in Communication and Control : telecommunications / signal processing ; June 25 - 29, 2001, Crete, Greece},
  pages={15--22},
  editor={Wells, William R.},
  author={Kohlmann, Michael and Tang, Shanjian}
}
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