Locally risk-minimizing strategies in discrete time incomplete financial markets 被引量：2

Locally risk-minimizing strategies in discrete time incomplete financial markets

导出

摘要 For discrete time case a characterization of locally risk-minimizing strategies is given. Based on this characterization, it is evident that risk-minimizing strategies must be locally risk-minimizing. For discrete time case a characterization of locally risk-minimizing strategies is given. Based on this characterization, it is evident that risk-minimizing strategies must be locally risk-minimizing.

作者 Shengwu He Jianming Xia

机构地区 E China Normal Univ

出处《Chinese Science Bulletin》 SCIE EI CAS 1998年第19期1601-1604,共4页

基金 ThisworkwassupportedbytheNationalNaturalScienceFoundationofChina .

关键词 MATHEMATICAL FINANCE INCOMPLETE FINANCIAL market LOCALLY risk-minimizing strategy. mathematical finance incomplete financial market locally risk-minimizing strategy

分类号 F224.3 [经济管理—国民经济]

引文网络
相关文献

同被引文献13

1Harrison M, Kreps D. Martingales and arbitrages in muhiperiod securities markets[ J]. Journal of Economy Theory, 1979, 20:381-409.
2Follmer H, Schweizer M. Hedging of contingent claims under incomplete information[C]//Hilderbrand W. Contributions to Mathematical Economics in Honor of Gerard Debreau. Amsterdam: 1991, 205 - 223.
3Follmer H, Sondermann D. Hedging of non-redundant contingent claims under incomplete information[ C]//Davis M H. Applied Stochastic Analysis. Gordon Breach: 1996, 389- 414.
4Schweizer M. On the minimal martingale measure and the Follmer- Schweizer decomposition[J]. Stoch Anal Appl, 1995, 13:573.
5Mercurio F, Vorst T. Option pricing with hedging at fixed trading dates[J]. Appl Math Finance, 1996, 3:135 - 158.
6Markowitz H. Portfolio selection[J]. Journal of Finance, 1952, 7(1) : 77 - 91.
7Sharpe W. Capital asset prices: A theory of market equilibrium[J]. Journal of Finance, 1964, (9): 425-442.
8Bodie Z, Kane A. Essentials of Investments[M]. Boston: McGraw-Hill, 2004.
9Duffle D. Dynamic Asset Pricing Theory[M] (3rd ed). Princeton: Princeton University Press, 2001.
10Black F, Scholes M. The pricing of options and corporate liabilities[J]. Journal of Political Economy, 1973, 81: 637-654.

引证文献2

1张力健,马健,许玥.不完全市场下基于局部风险最小策略的股票期货定价研究[J].系统工程理论与实践,2008,28(7):34-40. 被引量：2
2Ping Li, Jian-ming XiaInstitute of System Sciences, Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing 100080, ChinaInstitute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing 100080, China.Minimal Martingale Measures for Discrete-time Incomplete Financial Markets[J].Acta Mathematicae Applicatae Sinica,2002,18(2):349-352. 被引量：2

二级引证文献4

1闫海峰,刘利敏.三叉树模型下的等价鞅测度[J].运筹与管理,2006,15(3):90-93.
2张力健,马健,许玥.不完全市场下基于局部风险最小策略的股票期货定价研究[J].系统工程理论与实践,2008,28(7):34-40. 被引量：2
3王春发,胡乃翔.局部风险最小套期保值理论研究综述[J].湖南财经高等专科学校学报,2010,26(4):44-47.
4常浩.不完全市场下基于对数效用的动态投资组合[J].数理统计与管理,2013,32(1):133-144.

1王艳蕾.投资组合与财务风险分析[J].合作经济与科技,2016,0(23):172-174.
2纽约的垃圾设施选址[J].现代物业（下旬刊）,2013(10):17-17. 被引量：1
3黄家随.谈原始凭证的审核[J].农村财务会计,1999,0(9):33-33.
4Xuli Han (1) ,Songren Li (2) .THE　DIFFERENTIAL　DYNAMIC　MODEL　OF　ENTERPRISE　ECONOMIC　DEVELOPMENTANDITSCOMPUTATIONALMETHODS[J].Journal of Central South University,1994,6(1):87-90.
5钱晓明.如何选择适合企业实际的筹资方式[J].经济师,2010(5):242-242. 被引量：8
6Chen Yong.Orient International Group[J].China's Foreign Trade,1997(4):17-17.
7许销冰,陈荣,刘文静.商标的大小写设计对消费者品牌感知的影响[J].营销科学学报（辑刊）,2016,12(2):75-86. 被引量：15
8ANITA ZUO.Where To List?[J].Beijing Review,2007,50(12):38-39.
9微软中国办公技巧权威指南（4）[J].网友世界,2005(21):32-32.
10宋炳成.“家丑”面前砺自身[J].农村财务会计,2005(4):52-52.

Chinese Science Bulletin

1998年第19期

浏览历史

内容加载中请稍等...

Locally risk-minimizing strategies in discrete time incomplete financial markets 被引量：2

同被引文献13

引证文献2

二级引证文献4

相关作者

相关机构

相关主题

浏览历史