On the structure of general mean-variance hedging strategies
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Publication:2373572
DOI10.1214/009117906000000872zbMATH Open1124.91028arXiv0708.1715OpenAlexW3124754868MaRDI QIDQ2373572FDOQ2373572
Authors: Aleš Černý, Jan Kallsen 
Publication date: 12 July 2007
Published in: The Annals of Probability (Search for Journal in Brave)
Abstract: We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure which turns the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to coincides with the variance-optimal martingale measure relative to the original probability measure .
Full work available at URL: https://arxiv.org/abs/0708.1715
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