摘要翻译：
研究了部分可观测市场中的均值-方差套期保值(MVH)问题，其中漂移过程只能通过对资产或指数过程的观测来推断。虽然大多数文献都是用对偶方法来处理MVH问题，但这里我们研究了由Mania and Tevzadze(2003)和Mania et.al.(2008)导出的三个BSDE组成的系统，并试图提供更明确的表达式，供实践者直接实现。在Bayesian和Kalman-Bucy框架下，我们发现相关的BSDE通过一组简单的ODE得到一个半封闭解，该解允许快速的数值计算。这使得剩余问题等价于在一个新的前瞻性测度下解决欧式未定权益，并且很容易得到一个前瞻性的非序贯蒙特卡罗模拟方案。我们还给出了套期保值头寸以半封闭形式可用的特殊例子。对于更一般的构造，我们通过渐近展开给出了近似套期保值投资组合的显式表达式。这些解析表达式不仅可以使套期保值者实时更新套期保值头寸，而且可以通过标准的蒙特卡罗模拟直接分析被套期保值组合的最终分布。
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英文标题：
《Making Mean-Variance Hedging Implementable in a Partially Observable
Market》
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作者：
Masaaki Fujii, Akihiko Takahashi
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift processes can only be inferred through the observation of asset or index processes. Although most of the literatures treat the MVH problem by the duality method, here we study a system consisting of three BSDEs derived by Mania and Tevzadze (2003) and Mania et.al.(2008) and try to provide more explicit expressions directly implementable by practitioners. Under the Bayesian and Kalman-Bucy frameworks, we find that a relevant BSDE yields a semi-closed solution via a simple set of ODEs which allow a quick numerical evaluation. This renders remaining problems equivalent to solving European contingent claims under a new forward measure, and it is straightforward to obtain a forward looking non-sequential Monte Carlo simulation scheme. We also give a special example where the hedging position is available in a semi-closed form. For more generic setups, we provide explicit expressions of approximate hedging portfolio by an asymptotic expansion. These analytic expressions not only allow the hedgers to update the hedging positions in real time but also make a direct analysis of the terminal distribution of the hedged portfolio feasible by standard Monte Carlo simulation.
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