Hedging Diffusion Processes by Local Risk Minimization with Applications to Index Tracking

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dc.contributor.author Colwell, D
dc.contributor.author El-Hassan, N
dc.contributor.author Kwon, O
dc.date.accessioned 2009-12-21T02:36:40Z
dc.date.issued 2007-01
dc.identifier.citation Journal of Economic Dynamics and Control, 2007, 31 (7), pp. 2135 - 2151
dc.identifier.issn 0165-1889
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5100
dc.description.abstract This paper extends the local risk-minimization criterion for hedging contingent claims, as introduced in F?er and Sondermann [Hedging of non-redundant contingent claims. In: Hildenbrand, W., Mas-Colell, A. (Eds.), Contributions to Mathematical Economics. Elsevier Science, North-Holland, Amsterdam, pp. 205?223], F?er and Schweizer [Hedging of contigent claims under incomplete information. In: Davis, M., Elliot, R. (Eds.), Applied Stochastic Analysis, Stochastic Monographs, vol. 5, Gordon and Breach, London/New York, pp. 389?414] and Schweizer [Option hedging for semimartingales. Stochastic Processes and their Applications 37, 339?363], to the hedging of entire stochastic processes, and determines the necessary and sufficient conditions under which this is possible. The results are then applied to the problem of stock index tracking to obtain simple criteria for selecting the optimal set of assets with which to form tracker portfolios, and to derive a value-at-risk type measure for the set of assets used.
dc.publisher Elsevier B.V.
dc.relation.isbasedon 10.1016/j.jedc.2006.06.005
dc.title Hedging Diffusion Processes by Local Risk Minimization with Applications to Index Tracking
dc.type Journal Article
dc.parent Journal of Economic Dynamics and Control
dc.journal.volume 7
dc.journal.volume 31
dc.journal.number 7 en_US
dc.publocation Netherlands en_US
dc.identifier.startpage 2135 en_US
dc.identifier.endpage 2151 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1402 Applied Economics
dc.personcode 970661
dc.percentage 100 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.description.keywords Minimal martingale measure; Local risk minimization; Hedging; Incomplete market; Index tracking; Portfolio selection en_US
dc.description.keywords Minimal martingale measure
dc.description.keywords Local risk minimization
dc.description.keywords Hedging
dc.description.keywords Incomplete market
dc.description.keywords Index tracking
dc.description.keywords Portfolio selection
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)
utslib.collection.history Finance (ID: 371)


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