Dynamic Minimization of Worst Conditional Expectation of Shortfall
Dynamic Minimization of Worst Conditional Expectation of Shortfall
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DOI：
10.1111/j.0960-1627.2004.00207.x
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发表时间：
2004-09
影响因子：
1.6
通讯作者：
J. Sekine
中科院分区：
文献类型：
--
作者：
J. Sekine
在完全金融市场模型中，对于衍生证券F的卖方，在终止日的短缺风险最小化问题被处理。缺口的最坏条件期望被采用作为这种风险的度量，确保最小化的风险满足某些可取的性质作为风险的动态度量，如Cvitanić和Karatzas（1999）所提出的。优化投资组合的终值是一个依赖于F和等效局部鞅测度的Radon-Nikodym密度的二元泛函。特别地，存在一个正数x* 小于F的复制成本xF，并且当套期保值者的资本在[x*，xF]范围内时，最小化缺口期望的策略是最优的.
In a complete financial market model, the shortfall‐risk minimization problem at the terminal date is treated for the seller of a derivative security F. The worst conditional expectation of the shortfall is adopted as the measure of this risk, ensuring that the minimized risk satisfies certain desirable properties as the dynamic measure of risk, as proposed by Cvitanić and Karatzas (1999) . The terminal value of the optimized portfolio is a binary functional dependent on F and the Radon‐Nikodym density of the equivalent local martingale measure. In particular, it is observed that there exists a positive number x* that is less than the replicating cost xF of F, and that the strategy minimizing the expectation of the shortfall is optimal if the hedger's capital is in the range [x*, xF].