Optimal Robust Mean-Variance Hedging in Incomplete Financial Markets

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dc.creatorLazrieva, N.
dc.creatorToronjadze, T.
dc.date2008-05-01
dc.date.accessioned2026-07-07T12:10:31Z
dc.date.available2026-07-07T12:10:31Z
dc.descriptionOptimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial market with arbitrary information structure and misspecified volatility of asset price, which is modelled by multidimensional continuous semimartingale. Obtained results are applied to stochastic volatility model, where the model of latent volatility process contains unknown multidimensional parameter in drift coefficient and small parameter in diffusion term.
dc.identifierhttps://arxiv.org/abs/0805.0122
dc.identifierhttp://arxiv.org/abs/0805.0122
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209958
dc.subjectPortfolio Management
dc.subjectProbability
dc.subjectStatistics Theory
dc.subjectApplications
dc.titleOptimal Robust Mean-Variance Hedging in Incomplete Financial Markets
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