Article1997

Some applications of L2-hedging with a non-negative wealth process

16 citations0/0 files storedApplied Mathematical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

Abstract

We consider the problem of L 2-hedging of contingent claims in diffusion type models for securities markets. In contrast to a recent paper of Schweizer (1994) we insist on a non-negative wealth process corresponding to the optimal hedge portfolio. For this reason the usual projection methods cannot be applied. We give some applications of L 2-hedging in this setting including hedging under constraints, a problem of approximating the wealth process of a richer investor and a mean-variance version of it.

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References

2007Brownian Motion and Stochastic Calculus 1997Backward Stochastic Differential Equations in Finance 1988Brownian Motion and Stochastic Calculus 1989Optimization Problems in the Theory of Continuous Trading 1994Approximating Random Variables by Stochastic Integrals 1995Continuous-time portfolio optimization under terminal wealth constraints

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