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 …

decomposed into a sum with two opportunity processes L± appearing as coefficients. The martingale optimality principle translates … in the unconstrained case. Markowitz problem ; cone constraints ; portfolio selection ; mean-variance ; hedging …, stochastic control ; semimartingales ; BSDEs ; martingale optimality principle ; opportunity process ; E-martingales ; linear …

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 …

The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a … martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only assumed … to be a continuous function of time. The hedging problem is to construct a minimal super-hedging portfolio that consists …

The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag … space. This problem has the financial interpretation as the robust hedging of path dependent European options …

We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted …-information filtration and assume that S is a time-dependent affine transformation of a square-integrable martingale. This class of processes …