Optimal Mean-variance Robust Hedging under Asset Price Model Misspecification
نویسنده
چکیده
The problem of constructing robust optimal in the mean-variance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance robust trading strategies are constructed for one-dimensional diffusion models with misspecified volatility. 2000 Mathematics Subject Classification: 60G22, 62F35, 91B28.
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تاریخ انتشار 2003