Arbeitspapier
A Note on Mean-Variance Hedging of Non-Attainable Claims
A market is described by two correlated asset prices. But only one of them is traded while the contingent claim is a function of both assets. We solve the mean-variance hedging prob- lem completely and prove that the optimal strategy consists of a modified pure hedge expressible in terms of the obervation process and a Merton-type investment.
- Language
-
Englisch
- Bibliographic citation
-
Series: CoFE Discussion Paper ; No. 00/06
- Classification
-
Wirtschaft
- Subject
-
Börsenkurs
Optionspreistheorie
Hedging
Portfolio-Management
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Kohlmann, Michael
Peisl, Bernhard
- Event
-
Veröffentlichung
- (who)
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University of Konstanz, Center of Finance and Econometrics (CoFE)
- (where)
-
Konstanz
- (when)
-
2000
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-4207
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kohlmann, Michael
- Peisl, Bernhard
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Time of origin
- 2000
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