英文标题：
《On mean-variance hedging under partial observations and terminal wealth
constraints》
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作者：
Vitalii Makogin, Alexander Melnikov, Yuliya Mishura
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最新提交年份：
2017
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英文摘要：
In the paper, a mean-square minimization problem under terminal wealth constraint with partial observations is studied. The problem is naturally connected to the mean-variance hedging problem under incomplete information. A new approach to solving this problem is proposed. The paper provides a solution when the underlying pricing process is a square-integrable semimartingale. The proposed method for the study is based on the martingale representation. In special cases, the Clark-Ocone representation can be used to obtain explicit solutions. The results and the method are illustrated and supported by example with two correlated geometric Brownian motions.
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中文摘要：
研究了具有部分观测值的终端财富约束下的均方极小化问题。该问题自然与不完全信息下的均值-方差套期保值问题相联系。提出了一种解决这一问题的新方法。当定价过程是平方可积半鞅时，给出了一个解。所提出的研究方法是基于鞅表示的。在特殊情况下，可以使用Clark-Ocone表示来获得显式解。以两个相关的几何布朗运动为例说明和支持了该结果和方法。
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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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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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