英文标题：
《Local risk-minimization under restricted information to asset prices》
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作者：
Claudia Ceci, Katia Colaneri and Alessandra Cretarola
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最新提交年份：
2014
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英文摘要：
In this paper we investigate the local risk-minimization approach for a semimartingale financial market where there are restrictions on the available information to agents who can observe at least the asset prices. We characterize the optimal strategy in terms of suitable decompositions of a given contingent claim, with respect to a filtration representing the information level, even in presence of jumps. Finally, we discuss some practical examples in a Markovian framework and show that the computation of the optimal strategy leads to filtering problems under the real-world probability measure and under the minimalmartingale measure.
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中文摘要：
本文研究了一类半鞅金融市场的局部风险最小化方法，其中对至少能观察到资产价格的代理的可用信息有限制。我们通过对给定或有权益的适当分解来描述最优策略，并考虑代表信息水平的过滤，即使存在跳跃。最后，我们在马尔可夫框架下讨论了一些实际例子，表明在现实世界概率测度和最小鞅测度下，最优策略的计算会导致过滤问题。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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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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