Variance Minimizing Strategies for Stochastic Processes with Applications to Tracking Stock Indices

David B. Colwell, N. El-Hassan, Oh Kang Kwon
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引用次数: 1

Abstract

This paper extends the notion of variance optimal hedging of contingent claims under the incomplete market setting to the hedging of entire processes, and applies the results to the problem of tracking stock indices. Sufficient conditions under which this is possible are given, along with the corresponding variance optimal strategy in feedback form as given in Schweizer (1996) and Pham, Rheinlander, and Schweizer (1998) for contingent claims. The performances of tracking error variance minimizing, locally risk minimizing, and variance minimizing strategies in tracking stock indices are investigated using both simulated and historical market data.
随机过程方差最小化策略及其在股票指数跟踪中的应用
本文将不完全市场条件下或有债权方差最优套期保值的概念推广到整个过程的套期保值,并将结果应用于股票指数跟踪问题。给出了实现这一目标的充分条件,以及Schweizer(1996)和Pham, Rheinlander, and Schweizer(1998)针对或有权利要求给出的反馈形式的相应方差最优策略。利用模拟市场和历史市场数据,研究了跟踪误差方差最小化、局部风险最小化和方差最小化策略在股票指数跟踪中的性能。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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