**T. Toronjadze**

## Optimal Mean-Variance Robust Hedging Under Asset Price Model Misspecification

**abstract:**

The problem of constructing robust optimal in the
mean-va\-ri\-an\-ce sense trading strategies is considered.
The approach based on the notion of sensitivity of a risk functional
of the problem w.r.t. small perturbation of asset price model parameters
is suggested. The optimal mean-variance robust trading strategies
are constructed for one-dimensional diffusion models
with misspecified volatility