Geodesic
On the mean-variance hedging problem
Teoriâ veroâtnostej i ee primeneniâ, Tome 43 (1998) no. 4, pp. 672-691 Cet article a éte moissonné depuis la source Math-Net.Ru

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This paper proposes a new approach to the problem of the “optimal” control assets on an incomplete market. The approach develops the known mean-variance hedging method of Folmer, Sonderman, and Schweizer. Some technical assumptions on the approximating sequence such as the nondegeneracy condition and its elements belonging to the space $\mathscr{L}_2$ are excluded. We give examples and an interpretation of obtained results which connect them with such key financial-market notions as completeness and arbitrage.
Keywords: mean-variance hedging, investment, martingale measure
Mots-clés : arbitrage, option. 
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     title = {On the mean-variance hedging problem},
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     year = {1998},
     volume = {43},
     number = {4},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1998_43_4_a2/}
}
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A. V. Melnikov; M. L. Nechaev. On the mean-variance hedging problem. Teoriâ veroâtnostej i ee primeneniâ, Tome 43 (1998) no. 4, pp. 672-691. http://geodesic.mathdoc.fr/item/TVP_1998_43_4_a2/