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Locally risk-minimizing strategies in discrete time incomplete financial markets

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Chinese Science Bulletin

Abstract

For discrete time case a characterization of locally risk-minimizing strategies is given. Based on this characterization, it is evident that risk-minimizing strategies must be locally risk-minimizing.

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Authors and Affiliations

  1. Department of Statistics, East China Normal University, 200062, Shanghai, China

    Shengwu He & Jianming Xia

Authors
  1. Shengwu He
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  2. Jianming Xia
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Cite this article

He, S., Xia, J. Locally risk-minimizing strategies in discrete time incomplete financial markets. Chin. Sci. Bull. 43, 1601–1604 (1998). https://doi.org/10.1007/BF02883402

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  • DOI: https://doi.org/10.1007/BF02883402

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