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Making Mean-Variance Hedging Implementable in a Partially Observable Market
http://hdl.handle.net/2261/55052
http://hdl.handle.net/2261/55052ef18ff7c-fdd4-4186-8640-7d633c9b131e
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-07-11 | |||||
タイトル | ||||||
タイトル | Making Mean-Variance Hedging Implementable in a Partially Observable Market | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Mean-variance hedging | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | BSDE | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Bayesian analysis | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Kalman-Bucy filter | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | asymptotic expansion | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | particle method | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Fujii, Masaaki
× Fujii, Masaaki× Takahashi, Akihiko |
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著者所属 | ||||||
著者所属 | University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift processes can only be inferred through the observation of asset or index processes. Although most of the literatures treat the MVH problem by the duality method, here we study a system consisting of three BSDEs derived by Mania and Tevzadze (2003) and Mania et.al.(2008) and try to provide more explicit expressions directly implementable by practitioners. Under the Bayesian and Kalman-Bucy frameworks, we find that a relevant BSDE can yield a semi-closed solution via a simple set of ODEs which allow a quick numerical evaluation. This renders remaining problems equivalent to solving European contingent claims under a new forward measure, and it is straightforward to obtain a forward looking non-sequential Monte Carlo simulation scheme. We also give a special example where the hedging position is available in a semi-closed form. For more generic setups, we provide explicit expressions of approximate hedging portfolio by an asymptotic expansion. These analytic expressions not only allow the hedgers to update the hedging positions in real time but also make a direct analysis of the terminal distribution of the hedged portfolio feasible by standard Monte Carlo simulation. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-891, 発行日 2013-06 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf891ab.html |