英文标题：
《Robust Mean-Variance Hedging via G-Expectation》
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作者：
Francesca Biagini, Jacopo Mancin and Thilo Meyer Brandis
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最新提交年份：
2016
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英文摘要：
In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a contin- uous financial market with two assets, where the discounted risky one is modeled as a symmetric G-martingale. By tackling progressively larger classes of contingent claims, we are able to explicitly compute the optimal strategy under general assumptions on the form of the contingent claim.
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中文摘要：
本文研究了G-期望框架下的均值-方差套期保值。我们的分析是利用G-鞅表示定理和相关的概率工具，在一个具有两种资产的连续金融市场中进行的，其中贴现的风险资产被建模为对称G-鞅。通过处理越来越大的未定权益类别，我们能够在未定权益形式的一般假设下显式计算最优策略。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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