Probability criterion has its practical significance, and its investment decision-making is determined by the expected discounted wealth. In a complete, standard financial market with short-selling allowed, this paper...Probability criterion has its practical significance, and its investment decision-making is determined by the expected discounted wealth. In a complete, standard financial market with short-selling allowed, this paper probes into the investment decision-making with probability criterion. The upper limit of criterion function is obtained. The corresponding discounted wealth process and hedging portfolio process are provided. Finally, an illustrative example of one-dimensional constant-coefficient financial market is given.展开更多
The paper is on toxic foreign exchange options problem which occurred in Poland just prior to and after the outbreak of the recent crisis. Especially Polish enterprises were severely stricken by transactions on fx and...The paper is on toxic foreign exchange options problem which occurred in Poland just prior to and after the outbreak of the recent crisis. Especially Polish enterprises were severely stricken by transactions on fx and interest rate derivatives contracted with their banks. Poland was the only EU country which did not precipitate into recession during the financial crisis beginning in 2008. However, the toxic fx and interest rate derivatives transmitted the shockwaves from global financial markets into Poland. Huge dimensions of losses resulted in conflicts between banks and their customers, who claimed just being cheated by the financial institutions. The article deeply researches into reasons for such developments on Polish fx over-the-counter derivatives market. As a case study, an authentic strategy has been presented. The contract was concluded between the construction company and one of the biggest commercial banks in Poland. Because the case study may be representative for many other cases, the analysis includes exact pricing of option strategy and therefore reveals inequality of the contract. The consequences of non-implementing the MiFID directive in the context of derivatives offering to non-financial customers were also touched in the paper.展开更多
In this paper,a mean-variance hedging portfolio problem is considered for mean-field stochastic differential equations.The original problem can be reformulated as a nonhomogeneous linear-quadratic optimal control prob...In this paper,a mean-variance hedging portfolio problem is considered for mean-field stochastic differential equations.The original problem can be reformulated as a nonhomogeneous linear-quadratic optimal control problem with mean-field type.By virtue of the classical completion of squares,the optimal control is obtained in the form of state feedback.We use the theoretical results to the mean-variance hedging portfolio problem and get the optimal portfolio strategy.展开更多
基金This project was supported by the National Natural Science Foundation of China(70171004)Tianjin Natural Science Foundation(013602611).
文摘Probability criterion has its practical significance, and its investment decision-making is determined by the expected discounted wealth. In a complete, standard financial market with short-selling allowed, this paper probes into the investment decision-making with probability criterion. The upper limit of criterion function is obtained. The corresponding discounted wealth process and hedging portfolio process are provided. Finally, an illustrative example of one-dimensional constant-coefficient financial market is given.
文摘The paper is on toxic foreign exchange options problem which occurred in Poland just prior to and after the outbreak of the recent crisis. Especially Polish enterprises were severely stricken by transactions on fx and interest rate derivatives contracted with their banks. Poland was the only EU country which did not precipitate into recession during the financial crisis beginning in 2008. However, the toxic fx and interest rate derivatives transmitted the shockwaves from global financial markets into Poland. Huge dimensions of losses resulted in conflicts between banks and their customers, who claimed just being cheated by the financial institutions. The article deeply researches into reasons for such developments on Polish fx over-the-counter derivatives market. As a case study, an authentic strategy has been presented. The contract was concluded between the construction company and one of the biggest commercial banks in Poland. Because the case study may be representative for many other cases, the analysis includes exact pricing of option strategy and therefore reveals inequality of the contract. The consequences of non-implementing the MiFID directive in the context of derivatives offering to non-financial customers were also touched in the paper.
文摘In this paper,a mean-variance hedging portfolio problem is considered for mean-field stochastic differential equations.The original problem can be reformulated as a nonhomogeneous linear-quadratic optimal control problem with mean-field type.By virtue of the classical completion of squares,the optimal control is obtained in the form of state feedback.We use the theoretical results to the mean-variance hedging portfolio problem and get the optimal portfolio strategy.
