A Note on Mean-Variance Hedging of Non-Attainable Claims

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KOHLMANN, Michael, Bernhard PEISL, 2000. A Note on Mean-Variance Hedging of Non-Attainable Claims

@techreport{Kohlmann2000Mean--557, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={A Note on Mean-Variance Hedging of Non-Attainable Claims}, year={2000}, number={2000/06}, author={Kohlmann, Michael and Peisl, Bernhard} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/557"> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103416863-3868037-7"/> <dcterms:issued>2000</dcterms:issued> <dc:creator>Peisl, Bernhard</dc:creator> <dc:rights>deposit-license</dc:rights> <dcterms:abstract xml:lang="eng">A market is described by two correlated asset prices. But only one of them is traded while the contigent claim is a function of both assets. We solve the mean-variance hedging problem completely and prove that the optimal strategy consists of a modified pure hedge expressible in terms of the obervation process and Merton-type investment.</dcterms:abstract> <dcterms:title>A Note on Mean-Variance Hedging of Non-Attainable Claims</dcterms:title> <dc:format>application/pdf</dc:format> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:45:02Z</dcterms:available> <dc:contributor>Peisl, Bernhard</dc:contributor> <dc:language>eng</dc:language> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:45:02Z</dc:date> <dc:contributor>Kohlmann, Michael</dc:contributor> <dc:creator>Kohlmann, Michael</dc:creator> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/557"/> </rdf:Description> </rdf:RDF>

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