Optimal robust mean-variance hedging in incomplete financial markets

Lazrieva, N.; Toronjadze, T.

doi:10.1007/s10958-008-9128-x

Cited by 3 publications

(2 citation statements)

References 33 publications

(66 reference statements)

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“…In the case of unknown drift coefficient the existence of saddle point of corresponding minimax problem has been established and characterization of the optimal strategy has been obtained (see [5], [8], [7]). For the case of unknown volatility coefficients the construction of hedging strategy were given in the works [1], [3], [2], [16].…”

Section: Introductionmentioning

confidence: 99%

Robust utility maximization for a diffusion market model with misspecified coefficients

2012

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The paper studies the robust maximization of utility from terminal wealth in a diffusion financial market model. The underlying model consists of a tradable risky asset whose price is described by a diffusion process with misspecified trend and volatility coefficients, and a non-tradable asset with a known parameter. The robust functional is defined in terms of a utility function. An explicit characterization of the solution is given via the solution of the Hamilton-Jacobi-Bellman-Isaacs (HJBI) equation.

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Section: Introductionmentioning

confidence: 99%

Robust utility maximization for a diffusion market model with misspecified coefficients

2012

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“…In the case of unknown drift coefficient the existence of saddle point of corresponding minimax problem has been established and characterization of the optimal strategy has been obtained (see [4], [9], [8]). For the case of unknown volatility coefficients the construction of hedging strategy were given in the works [1], [3], [2], [10].…”

Section: Introductionmentioning

confidence: 99%

Robust mean-variance hedging in the single period model

Tevzadze,

Uzunashvili

2009

Preprint

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f-Divergence Minimal Equivalent Martingale Measures and Optimal Portfolios for Exponential Lévy Models with a Change-point

Cawston

Vostrikova

2013

Seminar on Stochastic Analysis, Random Fields and Applications VII

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We study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we describe all equivalent martingale measures for changepoint model and we give the conditions for the existence of f-minimal equivalent martingale measure. Using the connection between utility maximisation and f -divergence minimisation, we obtain a general formula for optimal strategy in change-point case for initially enlarged filtration and also for progressively enlarged filtration when the utility is exponential. We illustrate our results considering the Black-Scholes model with change-point. AbstractWe study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we describe all equivalent martingale measures for changepoint model and we give the conditions for the existence of f-divergence minimal equivalent martingale measure. Using the connection between utility maximisation and f -divergence minimisation, we obtain a general formula for optimal strategy in change-point case for initially enlarged filtration and also for progressively enlarged filtration in the case of exponential utility. We illustrate our results considering the Black-Scholes model with change-point.

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Optimal robust mean-variance hedging in incomplete financial markets

Cited by 3 publications

References 33 publications

Robust utility maximization for a diffusion market model with misspecified coefficients

Robust utility maximization for a diffusion market model with misspecified coefficients

Robust mean-variance hedging in the single period model

f-Divergence Minimal Equivalent Martingale Measures and Optimal Portfolios for Exponential Lévy Models with a Change-point

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