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We study mean-variance hedging under portfolio constraints in a general semimartingale model. The constraints are formulated via predictable correspondences, meaning that the trading strategy is restricted to lie in a closed convex set which may depend on the state and time in a predictable way....
Persistent link: https://www.econbiz.de/10009558290
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone constraints: Trading strategies must take values in a...
Persistent link: https://www.econbiz.de/10009558292
We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterise its three coefficient processes as solutions of...
Persistent link: https://www.econbiz.de/10009558490
information. We work in a setting where the underlying price process S is a semimartingale, but not adapted to the filtration G … which models the information available for constructing trading strategies. We choose as G = Fdet the zero-information …
Persistent link: https://www.econbiz.de/10011865489