Editor-in-Chief: Kiguradze, Ivan / Shervashidze, T.
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1A. Razmadze Mathematical Institute, Georgian Academy of Sciences, 1, M. Aleksidze St., Tbilisi 380093, Georgia. E-mail: toro@imath.acnet.ge
Citation Information: Georgian Mathematical Journal. Volume 8, Issue 1, Pages 189–199, ISSN (Online) 1072-9176, ISSN (Print) 1072-947X, DOI: 10.1515/GMJ.2001.189, February 2010
The problem of constructing robust optimal in the mean-variance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance robust trading strategies are constructed for one-dimensional diffusion models with misspecified volatility.
Key words and phrases:: Robust mean-variance hedging; misspecified asset price models
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