MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES

DOI10.1142/S0219024901000985zbMath1153.91554OpenAlexW2014132470MaRDI QIDQ3523572

Huyên Pham

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024901000985

zbMATH Keywords

Ornstein-Uhlenbeck processmean-variance hedgingfiltering, Bayesian adaptive control

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (17)

Power utility maximization under partial information: some convergence results ⋮ A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets ⋮ Martingale measures in the market with restricted information ⋮ Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information ⋮ Time-consistent investment strategy under partial information ⋮ A partial information non-zero sum differential game of backward stochastic differential equations with applications ⋮ Mean-variance hedging and forward-backward stochastic differential filtering equations ⋮ 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 ⋮ Backward SDEs for control with partial information ⋮ \(L^{2}\)-approximating pricing under restricted information ⋮ Optimal hedging for fund and insurance managers with partially observable investment flows ⋮ Utility-Based Valuation and Hedging of Basis Risk With Partial Information ⋮ Risk-minimizing hedging strategies with restricted information and cost ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING ⋮ Making mean-variance hedging implementable in a partially observable market

Cites Work

• On \(L^2\)-projections on a space of stochastic integrals
• Optimal trading strategy for an investor: the case of partial information
• Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
• The variance-optimal martingale measure for continuous processes
• Mean-Variance Hedging and Numeraire
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION

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