English, Article edition: Mean-Variance Hedging with Uncertain Trade Execution Koichi Matsumoto

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/50392
Physical Description
  • article
Language
  • English

Edition details

Title
  • Mean-Variance Hedging with Uncertain Trade Execution
Author
  • Koichi Matsumoto
Physical Description
  • article
Notes
  • This paper studies a hedging problem of a contingent claim in a discrete time model. The contingent claim is hedged by one illiquid risky asset and the hedging error is measured by a quadratic criterion. In our model, trade does not always succeed and then trade times are not only discrete, but also random. The uncertainty of trade execution represents the liquidity risk. First we find an optimal hedging strategy with fixed initial condition. Next we consider an optimal initial condition. Finally, we study a binomial model as a simple example.
  • Hedging, derivatives, execution risk,
  • RePEc:taf:apmtfi:v:16:y:2009:i:3:p:219-252
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment