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On Macrohedging Problem in Semimartingale Markets
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...
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| Main Authors: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Frontiers Media S.A.
2015-05-01
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| Colecção: | Frontiers in Applied Mathematics and Statistics |
| Assuntos: | |
| Acesso em linha: | http://journal.frontiersin.org/Journal/10.3389/fams.2015.00003/full |
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