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dc.contributor.author
Czichowsky, Christoph
dc.contributor.author
Schweizer, Martin
dc.date.accessioned
2017-06-14T16:53:29Z
dc.date.available
2017-06-14T16:53:29Z
dc.date.issued
2010-11
dc.identifier.uri
http://hdl.handle.net/20.500.11850/159552
dc.description.abstract
We study mean-variance hedging under portfolio constraints in a general semi-martingale model. The constraints are formulated via predictable correspondences, meaning that the trading strategy is restricted to lie in a closed convex set which may depend on the state and time in a predictable way. To obtain the existence of a solution, we first establish the closedness in L2 of the space of all gains from trade (i.e., the terminal values of stochastic integrals with respect to the price process of the underlying assets). This is a first main contribution which enables us to tackle the problem in a systematic and unified way. In addition, using the closedness allows us to explain and generalise in a systematic way the convex duality results obtained previously by other authors via ad hoc methods in specific frameworks.
dc.language.iso
en
dc.publisher
FINRISK
dc.subject
Mean-variance hedging
dc.subject
Constraints
dc.subject
Convex duality
dc.title
Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
dc.type
Working Paper
ethz.journal.title
FINRISK Working Paper Series
ethz.journal.volume
667
ethz.size
32 p.
ethz.publication.place
Zürich
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.identifier.url
http://www.nccr-finrisk.uzh.ch/wps.php?action=query&id=667
ethz.date.deposited
2017-06-14T16:58:40Z
ethz.source
ECIT
ethz.identifier.importid
imp59364d5ca6f2320340
ethz.ecitpid
pub:43919
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-20T15:41:15Z
ethz.rosetta.lastUpdated
2018-11-05T11:11:53Z
ethz.rosetta.versionExported
true
ethz.COinS
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