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MIXED HEDGING UNDER ADDITIVE MARKET PRICE INFORMATION

ISSN号：1009-6124
期刊名称：《系统科学与复杂性学报：英文版》
时间：0
分类：F746[经济管理—国际贸易;经济管理—产业经济]
作者机构：[1]School of Finance and Banking, Nanjing University of Finance and Economics, Nanjing 210046, China, [2]Business School, University of Shanghai for Science and Technology, Shanghai 200093, China, [3]Department of Mathematics, Henan Notarial University, Xinxiang 210046, China
相关基金：This research is supported by the National Natural Science Foundation of China under Grant No. 70471071, Shanghai Leading Academic Discipline Project under Grant No. T0502, and Jiangsu Provinces Education Commission, National Natural Science Foundation Research Project under Grant No. 07KJD110066.

作者： Haifeng YAN[1], Jianqi YANG[2], Limin LIU[3]

关键词：添加剂, 市场分析, 价格, 分析方法, 化工产品, Additive information, contingent, hedge, mean-variance efficient frontier, mixed hedging strategy.

中文摘要：

假设在金融市场有另外的市场信息，它被给 T 偶然的主张的 n 代表。有在时间 0 罐头的观察价格的特殊主张仅仅在时间 0 点被交换。因此，投资机会增加。由 Gourierout 等借助于这些技术发展了。(1998 ) ，特别，混合 hedging 问题被认为偶然的主张和最佳的 hedging 策略的价格被获得。对吝啬变化的有效答案的明确的描述在说服吝啬变化的有效边疆问题以后被给。

英文摘要：

Assume that there is additional market information in the financial market, which is represented by n given T-contingent claims. The special claims with observed prices at time 0 can only be traded at time 0. Hence, investment opportunities increase. By means of the techniques developed by Gourierout et al. （1998）, the mixed hedging problem is considered, especially, the price of contingent claim and the optimal hedging strategy are obtained. An explicit description of the mean-variance efficient solution is given after arguing mean-variance efficient frontier problem.

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