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A utility maximization approach to hedging in incomplete markets.
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- Author(s): Kallsen, Jan
- Source:
Mathematical Methods of Operations Research. 1999, Vol. 50 Issue 2, p321. 18p. - Source:
- Additional Information
- Subject Terms:
- Abstract: In this paper we introduce the notion of portfolio optimization by maximizing expected local utility. This concept is related to maximization of expected utility of consumption but, contrary to this common approach, the discounted financial gains are consumed immediately. In a general continuous-time market optimal portfolios are obtained by pointwise solution of equations involving the semimartingale characteristics of the underlying securities price process. The new concept is applied to hedging problems in frictionless, incomplete markets. [ABSTRACT FROM AUTHOR]
- Abstract: Copyright of Mathematical Methods of Operations Research is the property of Springer Nature and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
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