Hedging Diffusion Processes by Local Risk Minimization with Applications to Index Tracking

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dc.contributor.author Colwell, David en_US
dc.contributor.author El-Hassan, Nadima en_US
dc.contributor.author Kwon, Oh Kang en_US
dc.date.accessioned 2009-12-21T02:36:40Z
dc.date.available 2009-12-21T02:36:40Z
dc.date.issued 2007 en_US
dc.identifier 2006013376 en_US
dc.identifier.citation Colwell David, El-Hassan Nadima, and Kwon Oh Kang 2007, 'Hedging Diffusion Processes by Local Risk Minimization with Applications to Index Tracking', Elsevier B.V., vol. 31, no. 7, pp. 2135-2151. en_US
dc.identifier.issn 0165-1889 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5100
dc.description.abstract This paper extends the local risk-minimization criterion for hedging contingent claims, as introduced in F?er and Sondermann [Hedging of non-redundant contingent claims. In: Hildenbrand, W., Mas-Colell, A. (Eds.), Contributions to Mathematical Economics. Elsevier Science, North-Holland, Amsterdam, pp. 205?223], F?er and Schweizer [Hedging of contigent claims under incomplete information. In: Davis, M., Elliot, R. (Eds.), Applied Stochastic Analysis, Stochastic Monographs, vol. 5, Gordon and Breach, London/New York, pp. 389?414] and Schweizer [Option hedging for semimartingales. Stochastic Processes and their Applications 37, 339?363], to the hedging of entire stochastic processes, and determines the necessary and sufficient conditions under which this is possible. The results are then applied to the problem of stock index tracking to obtain simple criteria for selecting the optimal set of assets with which to form tracker portfolios, and to derive a value-at-risk type measure for the set of assets used. en_US
dc.publisher Elsevier B.V. en_US
dc.relation.isbasedon http://dx.doi.org/10.1016/j.jedc.2006.06.005 en_US
dc.title Hedging Diffusion Processes by Local Risk Minimization with Applications to Index Tracking en_US
dc.parent Journal of Economic Dynamics and Control en_US
dc.journal.volume 31 en_US
dc.journal.number 7 en_US
dc.publocation Netherlands en_US
dc.identifier.startpage 2135 en_US
dc.identifier.endpage 2151 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140200 en_US
dc.personcode 0000022212 en_US
dc.personcode 970661 en_US
dc.personcode 0000016843 en_US
dc.percentage 100 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.description.keywords Minimal martingale measure; Local risk minimization; Hedging; Incomplete market; Index tracking; Portfolio selection en_US


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