We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

We develop alternative models for hedging yield curve risk and test them by hedging US Treasury bond portfolios through … hedging quality. Also, this quality varies from one test case to the other, so that a clear ranking of the models is not … possible. We show that accounting for the variance of modeling errors substantially reduces both hedging errors and transaction …

's hedging demand is positive (negative) when the product of his prudence and risk tolerance is below (above) 2 and (ii) the …

This paper analyzes the expected life-time utility and the hedging demands in an exchange only, representative agent … analyze his hedging demands for intertemporal changes in the stochastic unobservable growth of the endowment process and the … changing quality of information regarding these changes. The hedging demands consist of two components, which could work in …

We study mean-variance hedging under portfolio constraints in a general semimartingale model. The constraints are … duality results obtained previously by other authors via ad hoc methods in specific frameworks. mean-variance ; hedging …

in the unconstrained case. Markowitz problem ; cone constraints ; portfolio selection ; mean-variance ; hedging …

We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new … value of indexlinked credit derivatives is very limited: hedging portfolios including only T-bond futures can reduce the … hedging. This is consistent with the literature identifying an important non-default component within corporate bond spreads …

We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After … be used to describe the optimal trading strategy for each conditional mean-variance hedging problem. For comparison with …. mean-variance hedging ; stochastic control ; backward stochastic differential equations ; semimartingales ; mathematical …