Utility based optimal hedging in incomplete markets.
type: Item
instance of: scholarly article
title: Utility based optimal hedging in incomplete markets.
zbMATH Open document ID: 1049.91082
published in: The Annals of Applied Probability
publication date: 2003-05-06T00:00:00Z
review text: What is the optimal hedge of a contingent claim in an incomplete market? Optimality is understood here in terms of maximizing the expected utility. Alternatively, what is the optimal investment strategy (in an incomplete market) if you are short a contingent claim? This paper addresses, in a quite general setting, these questions and solves them if the utility function satisfies some ``reasonable'' asymptotic elasticity condition, and if the contingent claims are bounded.
reviewed by: J. L. Fernández
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B16
zbMATH DE Number: 1906182
zbMATH Keywords: financial mathematic
zbMATH Keywords: utility functions
author: Mark P. Owen
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1026915621
OpenAlex ID: W1971845365
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DOI: 10.1214/AOAP/1026915621
description: scientific article; zbMATH DE number 1906182