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Assume that there is additional market information in the financial market,which isrepresented by n given T-contingent claims.The special claims with observed prices at time 0 canonly be traded at time 0.Hence,investment opportunities increase.By means of the techniquesdeveloped by Gourierout et al.(1998),the mixed hedging problem is considered,especially,the priceof contingent claim and the optimal hedging strategy are obtained.An explicit description of themean-variance efficient solution is given after arguing mean-variance efficient frontier problem.
Assume that there is additional market information in the financial market, which isrepresented by n given T-contingent claims.The special claims with observed prices at time 0 canonly be traded at time 0.Hence, investment opportunities increase.By means of the techniquesdeveloped by Gourierout et al. (1998), the mixed hedging problem is considered, especially, the price of contingent claim and the optimal hedging strategy, are obtained. An explicit description of the themean-variance efficient solution is given after arguing mean-variance efficient frontier problem.