Problem of hedging of a portfolio with a unique rebalancing moment
2012 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE credits
Student thesis
Abstract [en]
The paper deals with the problem of finding an optimal one-time rebalancing strategy for the Bachelier model, and makes some remarks for the similar problem within Black-Scholes model. The problem is studied on finite time interval under mean-square criterion of optimality. The methods of the paper are based on the results for optimal stopping problem and standard mean-square criterion.
The solution of the problem, considered in the paper, let us interpret how and - that is more important for us -when investor should rebalance the portfolio, if he wants to hedge it in the best way.
Place, publisher, year, edition, pages
2012. , p. 74
Keywords [en]
Financial Mathematics, optimal stopping problem, mean-square criterion, hedging, optimal portfolio rebalansing
National Category
Probability Theory and Statistics Mathematical Analysis
Identifiers
URN: urn:nbn:se:hh:diva-17357Local ID: IDE1132OAI: oai:DiVA.org:hh-17357DiVA, id: diva2:507678
Subject / course
Financial Mathematics
Presentation
2011-06-01, Wigforssallen, Halmstad University, Halmstad, 14:20 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
2012-03-062012-03-052012-03-09Bibliographically approved