凸风险度量下的变异偏好最优对冲

arXiv - QuantFin - Mathematical Finance Pub Date : 2024-07-03 DOI:arxiv-2407.03431

Marcelo Righi

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引用次数: 0

摘要

我们揭示了一个在凸风险度量下具有变分偏好的理论对冲优化框架。我们探讨了风险度量与效用之间构成的一般对偶表示法。我们研究了优化问题作为凸和单调映射器的特性。我们还推导了最优性和冷漠定价条件的结果。我们还探讨了我们设置中的特殊例子。

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Optimal hedging with variational preferences under convex risk measures

We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the optimization problem as a convex and monotone map per se. We also derive results for optimality and indifference pricing conditions. We also explore particular examples inside our setup.

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arXiv - QuantFin - Mathematical Finance

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