Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 24, 2011 erstellt
Description:
The price of a financial claim at a fixed time can represented by a random variable H.In an incomplete market H can be approximated by a trading strategy known as minimum variance hedging. Minimum variance hedging can be extended to a mean-variance optimal strategy where a riskier trading strategy attempts to exploit the expected difference between the hedging strategy and the financial claim. This paper shows that any mean-variance optimal hedging strategy can be decomposed into a sum of two conceptually and mathematically different trades. One is the minimum variance hedging strategy and the other is the mean-variance optimal price `direction' trading strategy that is independent of the hedging strategy and is only dependent on the price of the asset used for hedging. General explicit optimal price 'direction' strategies are also formulated