Mean-Variance Hedging Under Partial Information

DOI10.1137/070700061zbMath1173.91393arXivmath/0703424OpenAlexW2102657492MaRDI QIDQ3399248

Michael Mania, Revaz Tevzadze, Teimuraz Toronjadze

Publication date: 29 September 2009

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703424

zbMATH Keywords

incomplete marketsbackward stochastic differential equationpartial informationmean-variance hedgingsemimartingale market model

Mathematics Subject Classification ID

Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (10)

Power utility maximization under partial information: some convergence results ⋮ Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework ⋮ Exponential utility maximization under partial information ⋮ On mean-variance hedging of bond options with stochastic risk premium factor ⋮ DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION ⋮ \(L^{2}\)-approximating pricing under restricted information ⋮ Market delay and \(G\)-expectations ⋮ Short Communication: A Note on Utility Indifference Pricing with Delayed Information ⋮ Making mean-variance hedging implementable in a partially observable market ⋮ Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting

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