摘要
An optimal multi-step hedging strategy is proposed to minimize one's exposure to risk. The proposed strategy, called the QRA-hedging, is based on the minimization of the quadratic risk-adjusted hedging costs and extends the result of Elliott and Madan (1998) to the multi-step case. The multi-step QRA-hedging cost is proved to be the same as the no-arbitrage price derived by the extended Girsanov principle. The QRA-hedging strategy is investigated under complete and incomplete market models. A regression-based method is proposed to estimate the QRA-hedging positions. And a dynamic programming is developed to facilitate computation of the QRA-hedging strategy. Simulation and empirical studies are performed to compare the QRA with other hedging strategies under complete and incomplete market models.
原文 | ???core.languages.en_GB??? |
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頁(從 - 到) | 37-49 |
頁數 | 13 |
期刊 | Journal of the Korean Statistical Society |
卷 | 42 |
發行號 | 1 |
DOIs | |
出版狀態 | 已出版 - 3月 2013 |