Satisfying convex risk limits by trading
Satisfying convex risk limits by trading
复制标题
通过交易满足凸风险限额
DOI：
10.1007/s00780-004-0137-4
复制
发表时间：
2005
影响因子：
1.7
通讯作者：
R. Tütüncü
中科院分区：
文献类型：
--
作者：
Kasper Larsen;T. Pirvu;S. Shreve;R. Tütüncü
一个随机变量，代表一个交易策略的最终位置，如果在各种概率度量中的每一个下，它的期望都支配着与该度量相关的下限，则被认为是可接受的。一组随机变量代表前最终的立场，它是可能的贸易最终的可接受性的特点。特别是，一个人可以从交易到最终接受的初始资本集被证明是一条封闭的半线。提供了计算方法，并将这些思想应用于衍生证券定价.
A random variable, representing the final position of a trading strategy, is deemed acceptable if under each of a variety of probability measures its expectation dominates a floor associated with the measure. The set of random variables representing pre-final positions from which it is possible to trade to final acceptability is characterized. In particular, the set of initial capitals from which one can trade to final acceptability is shown to be a closed half-line. Methods for computingare provided, and the application of these ideas to derivative security pricing is developed.