• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail

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

View/Open
PMA-758Bis.pdf (218.2Kb)
Type
Article accepté pour publication ou publié
Date
2009
Journal name
Stochastic Analysis and Applications
Volume
27
Number
6
Publisher
Taylor & Francis
Pages
1129-1147
Publication identifier
http://dx.doi.org/10.1080/07362990903259223
Metadata
Show full item record
Author(s)
Campi, Luciano
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 [6], we extend the results about change of numéraire 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.
Subjects / Keywords
Artificial extension method; Hedging; large financial market; Numéraire; Stochastic integral for a sequence of semimartingales
JEL
G15 - International Financial Markets

Related items

Showing items related by title and author.

  • Thumbnail
    Mean-Variance Hedging on uncertain time horizon in a market with a jump 
    Ngoupeyou, Armand; Lim, Thomas; Kharroubi, Idris (2013) Article accepté pour publication ou publié
  • Thumbnail
    Arbitrage and completeness in financial markets with given N-dimensional distributions 
    Campi, Luciano Article accepté pour publication ou publié
  • Thumbnail
    A note on extremality and completeness in financial markets with infinitely many risky assets 
    Campi, Luciano (2004) Article accepté pour publication ou publié
  • Thumbnail
    Efficient portfolios in financial markets with proportional transaction costs 
    Campi, Luciano; Jouini, Elyès; Porte, Vincent (2013) Article accepté pour publication ou publié
  • Thumbnail
    Efficient trading strategies in financial markets with proportional transaction costs 
    Campi, Luciano; Jouini, Elyès; Porte, Vincent (2011) Document de travail / Working paper
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo