Locally risk-minimizing strategies in discrete time incomplete financial markets (Q5955928)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1707046
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Locally risk-minimizing strategies in discrete time incomplete financial markets |
scientific article; zbMATH DE number 1707046 |
Statements
Locally risk-minimizing strategies in discrete time incomplete financial markets (English)
0 references
18 February 2002
0 references
This paper studies locally risk-minimizing strategies in finite discrete time and proves that 1) any strategy that is risk-minimizing is also locally risk-minimizing, and 2) a mean-self-financing strategy is locally risk-minimizing if and only if its cost process is orthogonal to the martingale part of the discounted underlying asset price process. These results are known in continuous time [see \textit{M. Schweizer}, Stoch. Process. Appl. 37, 339-363 (1991; Zbl 0735.90028)] and have also been proved in discrete time in [\textit{M. Schweizer}, Hedging of Options in a General Semimartingale Model, Diss. ETH Zürich 8615 (1988)].
0 references
incomplete financial market
0 references
locally risk-minimizing strategies
0 references
discrete time
0 references
0.8201947808265686
0 references
0.803533136844635
0 references
0.7950524687767029
0 references
0.789963960647583
0 references