Abstract
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.
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This research is supported by the National Natural Science Foundation of China under Grant No. 70471071, Shanghai Leading Academic Discipline Project under Grant No. T0502, and Jiangsu Provinces Education Commission, National Natural Science Foundation Research Project under Grant No. 07KJD110066.
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Yan, H., Yang, J. & Liu, L. Mixed hedging under additive market price information*. J Syst Sci Complex 21, 239–249 (2008). https://doi.org/10.1007/s11424-008-9107-9
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DOI: https://doi.org/10.1007/s11424-008-9107-9