{"title":"可定制的货币风险和市场不完备性溢价","authors":"Yiyong Yuan","doi":"10.2139/ssrn.2745267","DOIUrl":null,"url":null,"abstract":"We examine the optimal customization of a financial derivative in the presence of a background risk. This problem includes the model of finding the optimal constant amount of a given pecuniary risk as a degenerated case. We show the importance of this perspective with a preference-free solution for the pecuniary background risk case and a general solution for any given utility function. The latter solution allows us to measure the incompleteness premium demanded by risk-averse agent for a market where only constant amount of risk is allowed in comparison with a complete and arbitrage-free market where the customization is unrestricted.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Customizable Pecuniary Risk and Market Incompleteness Premium\",\"authors\":\"Yiyong Yuan\",\"doi\":\"10.2139/ssrn.2745267\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We examine the optimal customization of a financial derivative in the presence of a background risk. This problem includes the model of finding the optimal constant amount of a given pecuniary risk as a degenerated case. We show the importance of this perspective with a preference-free solution for the pecuniary background risk case and a general solution for any given utility function. The latter solution allows us to measure the incompleteness premium demanded by risk-averse agent for a market where only constant amount of risk is allowed in comparison with a complete and arbitrage-free market where the customization is unrestricted.\",\"PeriodicalId\":187811,\"journal\":{\"name\":\"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)\",\"volume\":\"4 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-03-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2745267\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2745267","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Customizable Pecuniary Risk and Market Incompleteness Premium
We examine the optimal customization of a financial derivative in the presence of a background risk. This problem includes the model of finding the optimal constant amount of a given pecuniary risk as a degenerated case. We show the importance of this perspective with a preference-free solution for the pecuniary background risk case and a general solution for any given utility function. The latter solution allows us to measure the incompleteness premium demanded by risk-averse agent for a market where only constant amount of risk is allowed in comparison with a complete and arbitrage-free market where the customization is unrestricted.
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