LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS
LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS
复制标题
流动性不足的多种资产的局部风险最小化及其在能源市场的应用
DOI：
10.1142/s0219024918500280
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发表时间：
2017
影响因子：
0.5
通讯作者：
T. Meyer
中科院分区：
文献类型：
--
作者：
Panagiotis;Nils Detering;T. Meyer
我们提出了一种对冲方法，一般或有债权的流动性是一个问题，交易是受交易成本。具有不同流动性水平的多种资产可用于对冲。我们的风险标准旨在最大限度地降低股票价格波动风险和降低流动性成本之间的权衡。我们在无仲裁的环境中工作，假设每种资产都有一条供应曲线。在离散时间中，我们证明了价格过程的局部风险最小化策略的存在性。在随机和时间依赖的流动性风险下，我们给出了线性供给曲线模型下最优策略的封闭解。最后，我们展示了我们的套期保值方法可以应用于能源市场，不同期限的期货可用于交易。最接近其交割期的期货通常是流动性最强的，但取决于或有债权，就对冲而言不一定是最佳的。在模拟研究中，我们调查这种权衡，并比较由此产生的对冲策略与经典的。
We propose a hedging approach for general contingent claims when liquidity is a concern and trading is subject to transaction cost. Multiple assets with different liquidity levels are available for hedging. Our risk criterion targets a tradeoff between minimizing the risk against fluctuations in the stock price and incurring low liquidity costs. We work in an arbitrage-free setting assuming a supply curve for each asset. In discrete time, we prove the existence of a locally risk-minimizing strategy under mild conditions on the price process. Under stochastic and time-dependent liquidity risk we give a closed-form solution for an optimal strategy in the case of a linear supply curve model. Finally we show how our hedging method can be applied in energy markets where futures with different maturities are available for trading. The futures closest to their delivery period are usually the most liquid but depending on the contingent claim not necessarily optimal in terms of hedging. In a simulation study, we investigate this tradeoff and compare the resulting hedge strategies with the classical ones.
影响因子：
8.2
作者：
Longstaff, FA;Schwartz, ES
通讯作者：
Schwartz, ES