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Problem of hedging of a portfolio with a unique rebalancing moment
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Financial Mathematics)
2012 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent 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. , 74 p.
Keyword [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: diva2:507678
Subject / course
Financial Mathematics
Presentation
2011-06-01, Wigforssallen, Halmstad University, Halmstad, 14:20 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2012-03-06 Created: 2012-03-05 Last updated: 2012-03-09Bibliographically approved

Open Access in DiVA

fulltext(1009 kB)219 downloads
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Type fulltextMimetype application/pdf

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MPE-lab
Probability Theory and StatisticsMathematical Analysis

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf