Asymptotic analysis of utility-based hedging strategies for small number of contingent claims

[摘要] We study the linear approximation of utility-based hedging strategies for small number of contingent claims. We show that this approximation is actually a mean-variance hedging strategy under an appropriate choice of a numeraire and a risk-neutral probability. In contrast to previous studies, we work in the general framework of a semimartingale financial model and a utility function defined on the positive real line. (C) 2007 Elsevier B.V. All rights reserved.

[发布日期] 2007-11-01

[效力级别]  Proceedings Paper

[关键词] incomplete markets;utility-based hedging;mean-variance hedging;risk-tolerance wealth process;contingent claim;numeraire