We address the issue of hedging in infinite horizon markets with a type of constraints that the set of feasible portfolio holdings forms a convex cone. We show that the minimum cost of hedging a liability stream is equal to its largest present value with respect to admissible stochastic discount factors, thus can be determined without finding an optimal hedging strategy
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Paper provided by Minnesota - Center for Economic Research in its series Papers with number
304.
Length: 22 pages Date of creation: 1999 Date of revision: Handle: RePEc:fth:minner:304
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