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• W3122235880 abstract "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 KalmanBucy 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." @default.
• W3122235880 created "2021-02-01" @default.
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• W3122235880 date "2013-01-01" @default.
• W3122235880 modified "2023-09-23" @default.
• W3122235880 title "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates- ∗" @default.
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