City Research Online

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 P⋆ which turns the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to P⋆ coincides with the variance-optimal martingale measure relative to the original probability measure P.

Publication Type:	Article
Subjects:	Q Science > QA Mathematics
Departments:	Bayes Business School > Finance
SWORD Depositor:	Symplectic Administrator

Export

Downloads