Cooperative hedging in incomplete markets
文献类型：期刊论文
| 作者 | Xia, JM
|
| 刊名 | STOCHASTIC ANALYSIS AND APPLICATIONS
 |
| 出版日期 | 2005 |
| 卷号 | 23期号:3页码:475-489 |
| 关键词 | cooperative game core hedging minimax theorem |
| ISSN号 | 0736-2994 |
| DOI | 10.1081/SAP-200056649 |
| 英文摘要 | The problem of (partial) hedging contingent claims for a single agent is well studied. This paper studies the problem for the multiagent case in incomplete markets. For this case, a cooperative hedging game is posed as follows: First, all agents contribute some money and collect the money together as the initial total capital, then invest the initial total capital in a trading strategy, and, finally, divide the terminal wealth of the trading strategy and each of them gets a part. We give a characterization of the optimal cooperative hedging strategy and prove that the core of the cooperative hedging game. as a cooperative game with side payment, is nonempty. |
| 语种 | 英语 |
| WOS记录号 | WOS:000229613900003 |
| 出版者 | TAYLOR & FRANCIS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/2021]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Xia, JM |
| 作者单位 | Chinese Acad Sci, Inst Appl Math, Adad Math & Syst Sci, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xia, JM. Cooperative hedging in incomplete markets[J]. STOCHASTIC ANALYSIS AND APPLICATIONS,2005,23(3):475-489. |
| APA | Xia, JM.(2005).Cooperative hedging in incomplete markets.STOCHASTIC ANALYSIS AND APPLICATIONS,23(3),475-489. |
| MLA | Xia, JM."Cooperative hedging in incomplete markets".STOCHASTIC ANALYSIS AND APPLICATIONS 23.3(2005):475-489. |
入库方式： OAI收割
来源：数学与系统科学研究院
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