{"title":"或有债权套期保值的二次与非二次局部风险最小化比较","authors":"F. Abergel","doi":"10.2139/ssrn.2208396","DOIUrl":null,"url":null,"abstract":"In this note, I study further a new approach recently introduced for the hedging of derivatives in incomplete markets via non quadratic local risk minimization. A structure result is provided, which essentially shows the equivalence between non-quadratic risk minimization under the historical probability and quadratic local risk minimization under an equivalent, implicitly defined probability.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"80 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2013-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Comparing Quadratic and Non-Quadratic Local Risk Minimization for the Hedging of Contingent Claims\",\"authors\":\"F. Abergel\",\"doi\":\"10.2139/ssrn.2208396\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this note, I study further a new approach recently introduced for the hedging of derivatives in incomplete markets via non quadratic local risk minimization. A structure result is provided, which essentially shows the equivalence between non-quadratic risk minimization under the historical probability and quadratic local risk minimization under an equivalent, implicitly defined probability.\",\"PeriodicalId\":11800,\"journal\":{\"name\":\"ERN: Stock Market Risk (Topic)\",\"volume\":\"80 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-01-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Stock Market Risk (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2208396\",\"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: Stock Market Risk (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2208396","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Comparing Quadratic and Non-Quadratic Local Risk Minimization for the Hedging of Contingent Claims
In this note, I study further a new approach recently introduced for the hedging of derivatives in incomplete markets via non quadratic local risk minimization. A structure result is provided, which essentially shows the equivalence between non-quadratic risk minimization under the historical probability and quadratic local risk minimization under an equivalent, implicitly defined probability.