Making mean-variance hedging implementable in a partially observable market
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Publication:5247228
DOI10.1080/14697688.2013.867453zbMath1402.91695arXiv1306.3359OpenAlexW3125539696MaRDI QIDQ5247228
Masaaki Fujii, Akihiko Takahashi
Publication date: 23 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.3359
Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (6)
Asymptotic Expansion Approach in Finance ⋮ Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets ⋮ ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS ⋮ Optimal hedging for fund and insurance managers with partially observable investment flows ⋮ Pricing and hedging of variable annuities with state-dependent fees ⋮ A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
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