## Mean-variance hedging under uncertain stock appreciation rates

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2002
Tang, Shanjian
##### Publication type
Contribution to a conference collection
##### Published in
8th International Conference on Advances in Communication and Control : telecommunications / signal processing ; June 25 - 29, 2001, Crete, Greece / Wells, William R. (ed.). - New York : Optimization Software, 2002. - pp. 15-22. - ISBN 0-911575-78-2
##### Abstract
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.
510 Mathematics
##### Conference
8th International Conference on Advances in Communication and Control, Jun 25, 2001 - Jun 29, 2001, Crete, Greece
##### Cite This
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, Jun 25, 2001 - Jun 29, 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, 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},
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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