A benchmark approach to risk-minimization under partial information

The goal of this paper is to investigate (locally) risk-minimizing hedging strategies under the benchmark approach in a financial semimartingale market model where there are restrictions on the available information. More precisely, we characterize the optimal strategy as the integrand appearing in the Galtchouk-Kunita-Watanabe decomposition of the benchmarked contingent claim under partial information and provide its description in terms of the integrand in the classical Galtchouk-Kunita-Watanabe decomposition under full information via dual predictable projections. Finally we show how these results can be applied to unit-linked life insurance contracts.