Investment with sequence losses in an uncertain environment and mean-variance hedging

被引：1
|
作者：
Chen, Wencai
Xiong, Dewen
Ye, Zhongxing
机构：
[1] Shanghai Jiao Tong Univ, Dept Math, Shanghai 200240, Peoples R China
[2] Shanghai Jiao Tong Univ, Inst Contemporary Finance, Shanghai, Peoples R China
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2007年 / 25卷 / 01期
基金：
中国国家自然科学基金;
关键词：
backward stochastic differential equations; mean-variance portfolio selection; stochastic Riccati equation; variance-optimal martingale measure;
D O I：
10.1080/07362990601051872
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In a market with a discontinuous filtration, whose price is influenced by a random factor, we study an optimization problem of an investor who is facing a sequence of losses driven by a Cox process. We give a form of variance-optimal martingale measure by changing the filtration. By using the solutions of the stochastic Riccati equation and another associated backward stochastic equation, we obtain a solution of the optimization problem of the investor.
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页码：55 / 71
页数：17
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