Optimal Mean-Variance Robust Hedging
Abstract
We consider financial market with yield process of risky asset satisfying the so-called structure condition and construct optimal meanvariance robust hedging strategy for misspecified asset price process. In particular, we study the stochastic volatility process with fully defined volatility process with small randomness and misspecified asset price process.
Fields of Study & Subjects
Stochastic processes and financial applications
Risk and Portfolio Optimization
Financial Risk and Volatility Modeling
Publication details
- Journal / source
- Business Administration Research Papers
- Volume
- 10
- Issue
- a
- Publication date
- 15 January 2026