We consider a mean-variance hedging (MVH) problem for an arbitrage-free large financial market, that is, a financial market with countably many risky assets modelled by a sequence of continuous semimartingales. By using the stochastic integration theory for a sequence of semimartingales developed in De Donno and Pratelli [6], we extend the results about change of numeraire and MVH of Gourieroux et al. [12] to this setting. We also consider, for all n ≥ 1, the market formed by the first n risky assets and study the solutions to the corresponding n-dimensional MVH problem and their behaviour when n tends to infinity.
Mean-variance hedging in large financial markets / L. Campi. - In: STOCHASTIC ANALYSIS AND APPLICATIONS. - ISSN 0736-2994. - 27:6(2009), pp. 1129-1147.
Mean-variance hedging in large financial markets
L. Campi
2009
Abstract
We consider a mean-variance hedging (MVH) problem for an arbitrage-free large financial market, that is, a financial market with countably many risky assets modelled by a sequence of continuous semimartingales. By using the stochastic integration theory for a sequence of semimartingales developed in De Donno and Pratelli [6], we extend the results about change of numeraire and MVH of Gourieroux et al. [12] to this setting. We also consider, for all n ≥ 1, the market formed by the first n risky assets and study the solutions to the corresponding n-dimensional MVH problem and their behaviour when n tends to infinity.File | Dimensione | Formato | |
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