Optimal robust mean-variance hedging in incomplete financial markets
From MaRDI portal
Publication:2255960
DOI10.1007/S10958-008-9128-XzbMATH Open1422.91654arXiv0805.0122OpenAlexW2962771748MaRDI QIDQ2255960FDOQ2255960
Authors: Yanyan Li 
Publication date: 18 February 2015
Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)
Abstract: Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial market with arbitrary information structure and misspecified volatility of asset price, which is modelled by multidimensional continuous semimartingale. Obtained results are applied to stochastic volatility model, where the model of latent volatility process contains unknown multidimensional parameter in drift coefficient and small parameter in diffusion term.
Full work available at URL: https://arxiv.org/abs/0805.0122
Recommendations
- Optimal mean-variance robust hedging under asset price model misspecification
- Robust mean-variance hedging and pricing of contingent claims in a one period model
- scientific article; zbMATH DE number 17495
- scientific article; zbMATH DE number 1948538
- On a robustness of quantile hedging: Complete market's case
Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Approximating random variables by stochastic integrals
- Title not available (Why is that?)
- Robust asymptotic statistics
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- On \(L^2\)-projections on a space of stochastic integrals
- Approximation pricing and the variance-optimal martingale measure
- Mean-variance hedging for stochastic volatility models
- Mean-variance hedging and numéraire
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Mean-variance hedging for general claims
- Stochastic volatility, smile & asymptotics
- Mean-variance hedging in continuous time
- Title not available (Why is that?)
- SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
- Mean-variance hedging for continuous processes: New proofs and examples
- Föllmer-Schweizer decomposition and mean-variance hedging for general claims
- Weighted norm inequalities and hedging in incomplete markets
- Dynamic programming and mean-variance hedging
- A semimartingale Bellman equation and the variance-optimal martingale measure
- Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
- Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying1
- A stochastic control approach to risk management under restricted information.
- DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
- Optimal mean-variance robust hedging under asset price model misspecification
- DIFFUSION COEFFICIENT ESTIMATION AND ASSET PRICING WHEN RISK PREMIA AND SENSITIVITIES ARE TIME VARYING: A COMMENT
- Title not available (Why is that?)
Cited In (11)
- Title not available (Why is that?)
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- Robust utility maximization for a diffusion market model with misspecified coefficients
- Pricing and hedging in incomplete markets with model uncertainty
- Optimal hedging and parameter uncertainty
- Making mean-variance hedging implementable in a partially observable market
- Perfect hedging in rough Heston models
- Optimal mean-variance robust hedging under asset price model misspecification
- Robustness of quadratic hedging strategies in finance via Fourier transforms
- Title not available (Why is that?)
- Robust mean-variance hedging and pricing of contingent claims in a one period model
This page was built for publication: Optimal robust mean-variance hedging in incomplete financial markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2255960)
