Problem of hedging of a portfolio with a unique rebalancing moment
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
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.
Financial Mathematics, optimal stopping problem, mean-square criterion, hedging, optimal portfolio rebalansing
Probability Theory and Statistics Mathematical Analysis
IdentifiersURN: urn:nbn:se:hh:diva-17357Local ID: IDE1132OAI: oai:DiVA.org:hh-17357DiVA: diva2:507678
Subject / course
2011-06-01, Wigforssallen, Halmstad University, Halmstad, 14:20 (English)
UppsokPhysics, Chemistry, Mathematics
Nechaev, Mikhail, Lecturer
Bordag, Ljudmila A., Professor Dr.