摘要
本文在不确定性框架下,利用Choquet定价和Choquet期望效用理论研究结构性金融产品的定价和投资问题,并将不确定性参数和复杂系数对产品定价和投资决策的影响进行了敏感性分析,主要结论有随着不确定性程度的提高,产品的定价水平也随之提高;复杂产品有利于分散产品的集中风险且投资者对复杂产品平均预期收益水平的估计较高,从而选择复杂产品而非简单产品,部分解释了传统文献中结构性金融产品定价过高和投资者偏好复杂产品而非简单产品的两个悖论。
In this article,we discuss the pricing and investment problem of structured financial products under uncertainty by the Choquet pricing and Choquet Expected Utility Theory.The results are that the price of simple products is higher than the complex product and the investor prefers the simple products,because the later can also diverse the risky,which explains the two paradoxes in the other research papers.
出处
《金融评论》
2010年第1期66-74,共9页
Chinese Review of Financial Studies
基金
中国社会科学院青年科研启动基金项目的资助
