Mean-Variance Hedging in Large Financial Markets

DOI10.1080/07362990903259223zbMath1178.91191OpenAlexW1979474352MaRDI QIDQ3651643

Luciano Campi

Publication date: 11 December 2009

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/751165

zbMATH Keywords

hedgingnumérairelarge financial marketartificial extension methodstochastic integral for a sequence of semimartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (3)

Maximizing expected utility in the arbitrage pricing model ⋮ Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach ⋮ From small markets to big markets

Cites Work

• Calcul stochastique et problèmes de martingales
• Arbitrage and equilibrium in economies with infinitely many commodities
• Asymptotic arbitrage in large financial markets
• On \(L^2\)-projections on a space of stochastic integrals
• Residual risks and hedging strategies in Markovian markets
• The variance-optimal martingale measure for continuous processes
• Super-replication and utility maximization in large financial markets
• Mean-Variance Hedging and Numeraire
• Stochastic differential equations with jump reflection at the boundary
• [https://portal.mardi4nfdi.de/wiki/Publication:4194221 Espaces de semi martingales et changement de probabilit�]
• Diversified Portfolios in Continuous Time *
• A note on completeness in large financial markets

This page was built for publication: Mean-Variance Hedging in Large Financial Markets