MIXED HEDGING UNDER ADDITIVE MARKET PRICE INFORMATION  

作　　者：Haifeng YAN Jianqi YANG Limin LIU 

机构地区：[1]School of Finance and Banking, Nanjing University of Finance and Economics, Nanjing 210046, China [2]Business School, University of Shanghai for Science and Technology, Shanghai 200093, China [3]Department of Mathematics, Henan Notarial University, Xinxiang 210046, China

出　　处：《Journal of Systems Science & Complexity》2008年第2期239-249,共11页系统科学与复杂性学报（英文版）

基　　金：the National Natural Science Foundation of China under Grant No.70471071;Shanghai Leading Academic Discipline Project under Grant No.T0502;Jiangsu Provinces Education Commission,National Natural Science Foundation Research Project under Grant No.07KJD110066.

摘　　要：Assume that there is additional market information in the financial market, which is represented by n given T-contingent claims. The special claims with observed prices at time 0 can only be traded at time 0. Hence, investment opportunities increase. By means of the techniques developed by Gourierout et al. （1998）, the mixed hedging problem is considered, especially, the price of contingent claim and the optimal hedging strategy are obtained. An explicit description of the mean-variance efficient solution is given after arguing mean-variance efficient frontier problem.

关 键 词：Additive information CONTINGENT HEDGE mean-variance efficient frontier mixed hedging strategy. 

分 类 号：F746[经济管理—国际贸易]