Mean - Variance
نویسنده
چکیده
We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure P ⋆ which turns the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to P ⋆ coincides with the variance-optimal martin-gale measure relative to the original probability measure P .
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