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Optimal Mean-Variance Robust Hedging under Asset Price Model Misspecification
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T. Toronjadze
Published/Copyright:
February 23, 2010
Abstract
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.
Key words and phrases:: Robust mean-variance hedging; misspecified asset price models
Received: 2000-11-20
Published Online: 2010-02-23
Published in Print: 2001-March
© Heldermann Verlag
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Articles in the same Issue
- Polymersions of a Disk with Critical Points on the Boundary
- A Fixed Point Theorem of Leggett–Williams Type with Applications to Single- and Multivalued Equations
- Non-Noether Symmetries in Singular Dynamical Systems
- Weight Inequalities for Singular Integrals Defined on Spaces of Homogeneous and Nonhomogeneous Type
- Perturbation of a Fredholm Complex by Inessential Operators
- Weighted Exponential Inequalities
- On the Representation of Numbers by the Direct Sums of Some Quaternary Quadratic Forms
- On Local Invariants of Totally Real Surfaces
- On the Number of Representations of Positive Integers by the Quadratic Form
- Derivative Uniform Sampling via Weierstrass σ(z). Truncation Error Analysis in
- On Periodic Solutions of Autonomous Difference Equations
- Inequalities of Calderon–Zygmund Type for Trigonometric Polynomials
- Hilbert Spaces Formed by Strongly Harmonizable Stable Processes
- Optimal Mean-Variance Robust Hedging under Asset Price Model Misspecification
