Effect of Variance Swap in Hedging Volatility Risk

Effect of Variance Swap in Hedging Volatility Risk

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston’s stochastic volatility model. In the first problem, the financial market is complete and contains three primitive asse...

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Bibliographic Details
Main Author:	Yang Shen
Format:	Article
Language:	English
Published:	MDPI AG 2020-07-01
Series:	Risks
Subjects:	backward stochastic differential equation efficient frontier heston’s model mean-variance portfolio selection variance swap
Online Access:	https://www.mdpi.com/2227-9091/8/3/70

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