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The Feedback Effect of Hedging in Portfolio Optimization
Preprint submitted to International Journal of Theoretical and Applied Finance
c
World Scientific Publishing Company
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2 The Feedback Effect of Hedging in Portfolio Optimization
r
p
A `
P. HENRY-LABORDERE
1 Theoretical Physics Group, The Blackett Laboratory, Imperial College London
2 Prince Consort Road, London SW7 2AZ, U.K.
phenry@lpt.ens.fr
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e
h
t In this short note, we will show how to optimize the portfolio of a large trader whose
o hedging strategy affects the price of his assets.
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t
a Keywords : Illiquid Market, feedback effect, stochastic optimization
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d 1. Introduction
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o Since the famous papers of Black-Scholes on option pricing and of Markowitz on
c portfolio optimization 2 (for a review 3 ), some progress has been made in order to
[
extend these results to a more realistic arbitrage-free market model. As a reminder,
1 the Black-Scholes theory and the Markowitz’s theory consist in following a (hedging)
v strategy to decrease the risk of loss given a fixed amount of return. Both theories
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2 are based on three important hypothesis which are satisfied only to a certain extent:
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4 • The traders can revise their decisions continuously
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