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Kohlmann, Michael
Peisl, Bernhard
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CoFE Discussion Paper 00/06
A market is described by two correlated asset prices. But only one of them is traded while the contingent claim is a function of both assets. We solve the mean-variance hedging prob- lem completely and prove that the optimal strategy consists of a modified pure hedge expressible in terms of the obervation process and a Merton-type investment.
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Working Paper

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