Mean-Variance Hedging in Large Financial Markets
Campi, Luciano (2009), Mean-Variance Hedging in Large Financial Markets, Stochastic Analysis and Applications, 27, 6, p. 1129-1147. http://dx.doi.org/10.1080/07362990903259223
TypeArticle accepté pour publication ou publié
Journal nameStochastic Analysis and Applications
Taylor & Francis
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Abstract (EN)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 , we extend the results about change of numéraire and MVH of Gourieroux et al.  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.
Subjects / KeywordsArtificial extension method; Hedging; large financial market; Numéraire; Stochastic integral for a sequence of semimartingales
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