Optimal mean-variance robust hedging under asset price model misspecification (Q2726707)
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scientific article; zbMATH DE number 1621378
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal mean-variance robust hedging under asset price model misspecification |
scientific article; zbMATH DE number 1621378 |
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19 December 2001
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robust mean-variance hedging
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misspecified asset price models
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Optimal mean-variance robust hedging under asset price model misspecification (English)
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The author studies the problem of constructing robust optimal trading strategies in the mean-variance sense. The author suggests an approach based on the notion of sensitivity of a risk functional with respect to small perturbation of asset price model parameters. The author constructs the optimal mean-variance robust trading strategies for one-dimensional diffusion models with misspecified volatility.
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