CLAIM HEDGING IN AN INCOMPLETE MARKET  

作　　者：SUNWangui WANGChunfeng 

机构地区：[1]SchoolofEconomics&Management,NorthwestUniversity,Xi'an710069,China. [2]SchoolofManagement,TianjinUniversity,Tianjin300072,China

出　　处：《Journal of Systems Science & Complexity》2005年第2期193-201,共9页系统科学与复杂性学报（英文版）

基　　金：This work is supported in part by National Science Fund for Distinguished Young Scholar No. 70225002.

摘　　要：In this paper, we compare the performance of the optimal attainable payoffs (of a general claim) derived by the variance-optimal approach and the indifference argument under the mean-variance preference in an incomplete market. Both payoffs are expressed by the signed variance-optimal martingale measure. Our results are applied to the claim hedging under partial information.

关 键 词：incomplete market variance-optimal approach indifference argument  generalclaims partial information 

分 类 号：F740[经济管理—国际贸易]