| CLAIM HEDGING IN AN INCOMPLETE MARKET |
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| 作者姓名： | SUNWangui WANGChunfeng |
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| 作者单位： | [1]SchoolofEconomics＆Management,NorthwestUniversity,Xi＇an710069,China. [2]SchoolofManagement,TianjinUniversity,Tianjin300072,China |
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| 基金项目： | This work is supported in part by National Science Fund for Distinguished Young Scholar No. 70225002. |
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| 摘 要： | In this paper, we compare the performance of the optimal attainable payoffs (of a general claim) derived by the variance-optimal approach and the indifference argument under the mean-variance preference in an incomplete market. Both payoffs are expressed by the signed variance-optimal martingale measure. Our results are applied to the claim hedging under partial information.
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| 关 键 词： | 不完全市场 经济学 价格 对外贸易 随机变量 |
CLAIM HEDGING IN AN INCOMPLETE MARKET |
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| SUNWangui WANGChunfeng.CLAIM HEDGING IN AN INCOMPLETE MARKET[J].Journal of Systems Science and Complexity,2005,18(2):193-201. |
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| Authors: | SUN Wangui |
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| Abstract: | In this paper, we compare the performance of the optimal attainable payoffs (of a general claim) derived by the variance-optimal approach and the indifference argument under the mean-variance preference in an incomplete market. Both payoffs are expressed by the signed variance-optimal martingale measure. Our results are applied to the claim hedging under partial information. |
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| Keywords: | Incomplete market variance-optimal approach indifference argument general claims partial information |
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