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تسجيل مستخدم جديدOn the Structure of General Mean-Variance Hedging Strategies
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We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure $P^{star}$ which turns the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to $P^{star}$ coincides with the variance-optimal martingale measure relative to the original probability measure $P$.
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