We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure P⋆ which turns the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to P⋆ coincides with the variance-optimal martingale measure relative to the original probability measure P.
@article{1181334251,
author = {\v Cern\'y, Ale\v s and Kallsen, Jan},
title = {On the structure of general mean-variance hedging strategies},
journal = {Ann. Probab.},
volume = {35},
number = {1},
year = {2007},
pages = { 1479-1531},
language = {en},
url = {http://dml.mathdoc.fr/item/1181334251}
}
Černý, Aleš; Kallsen, Jan. On the structure of general mean-variance hedging strategies. Ann. Probab., Tome 35 (2007) no. 1, pp. 1479-1531. http://gdmltest.u-ga.fr/item/1181334251/