Optimal hedging strategy for a portfolio investment problem with additional constraints

Authors
Dokuchaev, NG Teo, KL
Citation
Ng. Dokuchaev et Kl. Teo, Optimal hedging strategy for a portfolio investment problem with additional constraints, DYN C D I S, 7(3), 2000, pp. 385-404
Citations number
19
Categorie Soggetti
Engineering Mathematics
Journal title
DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS
ISSN journal
12013390 → ACNP
Volume
7
Issue
3
Year of publication
2000
Pages
385 - 404
Database
ISI
SICI code
1201-3390(200009)7:3<385:OHSFAP>2.0.ZU;2-9
Abstract
Consider a portfolio investment problem in a multi-stock diffusion stochast ic financial market model with random appreciation rates, where additional constraints are required to be satisfied with probability 1. A general perf ormance index is introduced. It covers many practically important performan ce indeces as special cases. Admissible strategies are assumed to use only observations of market prices. The appreciation rates are not assumed to be available. An optimal hedging strategy independent of current observation of the appreciation rates is obtained.