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.
Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-17357 |
Date | January 2012 |
Creators | Mironenko, Georgy |
Publisher | Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab) |
Source Sets | DiVA Archive at Upsalla University |
Language | English |
Detected Language | English |
Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
Format | application/pdf |
Rights | info:eu-repo/semantics/openAccess |
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