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- W2288306335 abstract "Quadratic hedging is a specific form of utility hedging, where the strategy minimizes the hedging error in mean square sense. Hence risk is in this case quantified as variance. One of the obvious drawbacks of quadratic hedging is that losses and gains are treated in the same way. On the other hand, this might be an advantage, in case you do not know whether you deal with a buyer or a seller. Another advantage is that quadratic strategies related to different options can simply be added up as is also the case for delta-hedging strategies. In other words, quadratic hedging is a sort of linear hedging strategy. The mean-variance hedging strategy is one of the two main quadratic hedging strategies we will discuss. The other one is the (locally) risk-minimizing hedging strategy. In the mean-variance hedging theory the goal is to minimize the difference between the claim H at maturity T and the portfolio at that time, using a self-financing strategy. In the risk-minimizing hedging strategy, the goal is to minimize the variance of the cost process at any time t subject to the condition that the value of the portfolio at time T equals the claim H. In the latter case, it is only possible to find a self-financing portfolio when the claim is attainable. The risk-minimizing hedging strategy only makes sense when the underlying is a martingale, the extension to semimartingales is called local risk-minimization.We focus mainly on quadratic hedging and especially on the locally risk-minimizing hedging strategy and related to it, the Follmer-Schweizer decomposition. We do not only look at the pure financial market, but we also determine hedging strategies for the insurance market, as well as for the interest rate derivatives market and the commodity market. At the end we also discuss the implementation of the quadratic hedging strategies and compare the total costs related to different hedging strategies." @default.
- W2288306335 created "2016-06-24" @default.
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- W2288306335 date "2010-01-01" @default.
- W2288306335 modified "2023-09-27" @default.
- W2288306335 title "Quadratic hedging in finance and insurance" @default.
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