A utility maximization approach to hedging in incomplete markets |
| |
Authors: | Jan Kallsen |
| |
Institution: | Institut für Mathematische Stochastik, Universit?t Freiburg, Eckerstra?e 1, D-79104 Freiburg i. Br., Germany, (e-mail: kallsen@stochastik.uni-freiburg.de), DE
|
| |
Abstract: | In this paper we introduce the notion of portfolio optimization by maximizing expected local utility. This concept is related to maximization of expected utility of consumption but, contrary to this common approach, the discounted
financial gains are consumed immediately. In a general continuous-time market optimal portfolios are obtained by pointwise
solution of equations involving the semimartingale characteristics of the underlying securities price process. The new concept
is applied to hedging problems in frictionless, incomplete markets. |
| |
Keywords: | : Portfolio optimization hedging incomplete markets local utility |
本文献已被 SpringerLink 等数据库收录! |
|