摘要翻译：
Kramkov和Sirbu(2006，2007)已经证明，在特定的等价鞅测度下，通过求解均值-方差套期保值问题，可以计算基于电力效用的价格和套期保值策略的一阶近似。为了避免由于数字变量的变化而引入额外的状态变量，我们提出了一种替代数字变量的表示方法。更具体地说，我们使用类似于Cerny和Kallsen(2007)关于均值-方差套期保值的半鞅特征来刻画相关量。将这些结果应用于指数L\'Evy过程以及Barndorff-Nielsen和Shephard型随机波动模型。
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英文标题：
《Asymptotic Power Utility-Based Pricing and Hedging》
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作者：
Jan Kallsen, Johannes Muhle-Karbe, Richard Vierthauer
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  Kramkov and Sirbu (2006, 2007) have shown that first-order approximations of power utility-based prices and hedging strategies can be computed by solving a mean-variance hedging problem under a specific equivalent martingale measure and relative to a suitable numeraire. In order to avoid the introduction of an additional state variable necessitated by the change of numeraire, we propose an alternative representation in terms of the original numeraire. More specifically, we characterize the relevant quantities using semimartingale characteristics similarly as in Cerny and Kallsen (2007) for mean-variance hedging. These results are illustrated by applying them to exponential L\'evy processes and stochastic volatility models of Barndorff-Nielsen and Shephard type.
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PDF链接：
https://arxiv.org/pdf/0912.3362