On Macrohedging Problem in Semimartingale Markets

Frontiers in Applied Mathematics and Statistics

Mohamed eAbdelghani¹  Alexander eMelnikov¹ 

[1] University of Alberta;

关键词: Portfolio optimization;    Hedging;    Hierarchical optimization;    dynamic risk;    Open Portfolios;   

DOI  :  10.3389/fams.2015.00003

来源: DOAJ

【 摘 要 】

Macrohedging is a hedging technique commonly used in practice. It allows one to find a hedging policy that offsets several underlying risk factors of a portfolio of assets as a whole. Here, we develop a macrohedging methodology in a general semimartingale market. We calculate the optimal macrohedge that achieves minimum risk, in a quadratic-variation sense, givena set of possible hedging instruments. We illustrate general macrohedging results by the Black-Scholes model.

【 授权许可】

Unknown