AUTHOR=Abdelghani Mohamed , Melnikov Alexander 

TITLE=On macrohedging problem in semimartingale markets

JOURNAL=Frontiers in Applied Mathematics and Statistics

VOLUME=1

YEAR=2015

URL=https://www.frontiersin.org/journals/applied-mathematics-and-statistics/articles/10.3389/fams.2015.00003

DOI=10.3389/fams.2015.00003

ISSN=2297-4687

ABSTRACT=<p>Macrohedging is a hedging technique commonly used in practice. It allows one to find a hedging policy that offsets several underlying risk factors of a portfolio of assets as a <italic>whole</italic>. Here, we develop a macrohedging methodology in a general semimartingale market. We calculate the optimal macrohedge that achieves minimum risk, in a quadratic-variation sense, given a set of possible hedging instruments. We illustrate general macrohedging results by the Black-Scholes model.</p>