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Dynamic programming and mean-variance hedging
Pham, HuyËn; Laurent, Jean Paul - In: Finance and Stochastics 3 (1999) 1, pp. 83-110
We consider the mean-variance hedging problem when asset prices follow ItÆ processes in an incomplete market framework …. The hedging numÊraire and the variance-optimal martingale measure appear to be a key tool for characterizing the optimal … hedging strategy (see GouriÊroux et al. 1996; RheinlÄnder and Schweizer 1996). In this paper, we study the hedging numÊraire …
Persistent link: https://www.econbiz.de/10005166850
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Pricing and hedging wholesale energy structured products: a comparison of numerical methods for VPP
Fanone, Enzo - In: International Journal of Financial Markets and Derivatives 1 (2010) 2, pp. 175-195
The paper deals with the interesting topic of pricing energy structurated products which are traded in OTC market. The paper concentrates on a specific virtual asset, namely virtual power plant (VPP). The paper contains the definition of VPP, a description of the mathematical approach used in...
Persistent link: https://www.econbiz.de/10008755231
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Optimal hedging when the underlying asset follows a regime-switching Markov process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - In: European Journal of Operational Research 237 (2014) 1, pp. 312-322
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty … function of the hedging error within a general regime-switching framework. A numerical algorithm based on backward recursion … allows for the sequential construction of an optimal hedging strategy. Numerical experiments comparing this and other …
Persistent link: https://www.econbiz.de/10011097768
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Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - Centre Interuniversitaire sur le Risque, les Politiques … - 2012
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty … function of the hedging error within a general regime-switching framework. A numerical algorithm based on backward recursion … allows for the sequential construction of an optimal hedging strategy. Numerical experiments comparing this and other …
Persistent link: https://www.econbiz.de/10010568418
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Multi-period Markowitz's mean–variance portfolio selection with state-dependent exit probability
Wu, Huiling; Zeng, Yan; Yao, Haixiang - In: Economic Modelling 36 (2014) C, pp. 69-78
This paper considers a multi-period mean–variance portfolio selection problem with uncertain time-horizon in a regime-switching market, where the conditional distribution of the time-horizon is assumed to be stochastic and depends on the market states as the returns of risky assets do....
Persistent link: https://www.econbiz.de/10010729812
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Continuous-time mean–variance portfolio selection with only risky assets
Yao, Haixiang; Li, Zhongfei; Chen, Shumin - In: Economic Modelling 36 (2014) C, pp. 244-251
We investigate in this paper a continuous-time mean–variance portfolio selection problem in a general market setting with multiple assets that all can be risky. Using the Lagrange duality method and the dynamic programming approach, we derive explicit closed-form expressions for the efficient...
Persistent link: https://www.econbiz.de/10010729860
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Dynamic Portfolio Selection of NPD Programs Using Marginal Returns
Loch, Christoph H.; Kavadias, Stylianos - In: Management Science 48 (2002) 10, pp. 1227-1241
Selecting program portfolios within a budget constraint is an important challenge in the management of new product development (NPD). Optimal portfolios are difficult to define because of the combinatorial complexity of project combinations. However, at the aggregate level of the strategic...
Persistent link: https://www.econbiz.de/10009204305
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Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model
Partovi, M. Hossein - In: Economics Bulletin 33 (2013) 4, pp. 2930-2937
hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky …
Persistent link: https://www.econbiz.de/10010726676
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Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking
Colwell, D.; El-Hassan, Nadima; Kwon, Oh-Kang - Finance Discipline Group, Business School - 2004
The solution to the problem of hedging contingent claims by local risk-minimisation has been considered in detail in …
Persistent link: https://www.econbiz.de/10005041739
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Social Security and Institutions for Intergenerational, Intragenerational and International Risk Sharing
Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1998
Social security system old age insurance systems are devices for the sharing of income risks of elderly people with others. Risks can be shared intergenerationally (with the young of the same country), intragenerationally (with other elderly of the same country) or internationally (with...
Persistent link: https://www.econbiz.de/10004990813