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Optimal mean-variance robust hedging under asset price model misspecification. (English) Zbl 0984.91045
The author studies the problem of constructing robust optimal trading strategies in the mean-variance sense. The author suggests an approach based on the notion of sensitivity of a risk functional with respect to small perturbation of asset price model parameters. The author constructs the optimal mean-variance robust trading strategies for one-dimensional diffusion models with misspecified volatility.

MSC:
91B28 Finance etc. (MSC2000)
62F35 Robustness and adaptive procedures (parametric inference)
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