Robust mean-variance hedging via G-expectation

DOI10.1016/J.SPA.2018.04.007MaRDI QIDQ2419972zbMATH OpenOpenAlexFDO

Authors Francesca Biagini, Jacopo Mancin, Thilo Meyer-Brandis

Publication date 4 June 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.05484

zbMATH Keywords

\(G\)-expectation\(G\)-martingale representation theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Abstract: In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a contin- uous financial market with two assets, where the discounted risky one is modeled as a symmetric G-martingale. By tackling progressively larger classes of contingent claims, we are able to explicitly compute the optimal strategy under general assumptions on the form of the contingent claim.

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Cites work

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Cited in

(10)

• Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators
• An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motion
• \( G\)-expectation approach to stochastic ordering
• Local wellposedness of coupled backward stochastic differential equations driven by G-Brownian motions
• Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs
• Robust mean-variance hedging and pricing of contingent claims in a one period model
• Martingale representation theorem for the \(G\)-expectation
• Error estimates for the robust -stable central limit theorem under sublinear expectation by a discrete approximation method
• Moments of G-normal distributions with respect to Choquet expectations
• A G-BSDE approach to the long-term decomposition of robust pricing kernels

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