Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible … deviate unless she can pre-commit to follow them. We apply our results to the discrete hedging problem of derivatives when … specialized to the Black-Scholes setting. We also generalize our results to richer settings to study dynamic hedging with Poisson …

is then provided together with the hedging strategy underlying portfolio adjustments. Under adequate conditions on the …

We develop a new approach to pricing and hedging contingent claims in incomplete markets. Mimicking as closely as … can derive unique prices and corresponding optimal hedging strategies without invoking specific assumptions on preferences … explicitly taking into account optimal hedging strategies leads to positive market prices of risk for volatility even if the …

accelerates investment. These results may be reversed for the °ow payo® case. Finally, hedging a®ects investment decisions by … changing the expected growth of wealth and reduc- ing the agent's exposure to idiosyncratic risk. The agent's hedging demand is …

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 …