Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows
Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows
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基金最优对冲
DOI：
10.1080/14697688.2014.950320
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发表时间：
2015
影响因子：
1.3
通讯作者：
Akihiko Takahashi
中科院分区：
文献类型：
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作者：
Masaaki Fujii;Akihiko Takahashi
所有金融从业者都在充满不可对冲风险因素的不完整市场中工作。使情况更糟的是，他们只掌握了有关进程的不完善的信息。除了市场风险外，基金和保险经理还必须为客户投资流量的突然变化和可能的传染性变化做好准备，以便避免过度对冲和对冲不足。在这项工作中，证券的价格，保险事件的发生和（可能是一个网络）的投资流量被用来推断其漂移和强度的随机过滤技术。我们利用推断的信息提供最优的套期保值策略的均值方差（或二次）风险标准的基础上。一个Becomial方法允许系统的最佳策略，这是一组简单的ODE和标准的蒙特卡罗模拟可实现的推导。所提出的框架也可能是有用的制造商和能源公司安装一个有效的覆盖动态套期保值的金融衍生工具，以尽量减少成本。
All financial practitioners are working in incomplete markets full of unhedgeable risk factors. Making the situation worse, they are only equipped with imperfect information on the relevant processes. In addition to the market risk, fund and insurance managers have to be prepared for sudden and possibly contagious changes in the investment flows from their clients so that they can avoid the over- as well as under-hedging. In this work, the prices of securities, the occurrences of insured events and (possibly a network of) investment flows are used to infer their drifts and intensities by a stochastic filtering technique. We utilize the inferred information to provide the optimal hedging strategy based on the mean-variance (or quadratic) risk criterion. A BSDE approach allows a systematic derivation of the optimal strategy, which is shown to be implementable by a set of simple ODEs and standard Monte Carlo simulation. The presented framework may also be useful for manufacturers and energy firms to install an efficient overlay of dynamic hedging by financial derivatives to minimize the costs.