The paper studies the muiti-agent cooperative hedging problem of contingent claims in the complete market when the g-expected shortfall risks are bounded. We give the optimal cooperative hedging strategy explicitly by...The paper studies the muiti-agent cooperative hedging problem of contingent claims in the complete market when the g-expected shortfall risks are bounded. We give the optimal cooperative hedging strategy explicitly by the Neyman-Pearson lemma under g-probability.展开更多
Most work on capacities has focused on the 2-alternating and sub 2-alternating.In this paper we consider the capacities-g-probabilities derived from peng＇s g-expectations.When g satisfies some conditions,we show that...Most work on capacities has focused on the 2-alternating and sub 2-alternating.In this paper we consider the capacities-g-probabilities derived from peng＇s g-expectations.When g satisfies some conditions,we show that the g-probabilities fail to be 2-alternating but are sub 2-alternating.展开更多
基金supported by the National Natural Science Foundation of China under Grants (No. 11001029, 10971220)the Fundamental Research Funds for the Central Universities (BUPT2009RC0705)
文摘The paper studies the muiti-agent cooperative hedging problem of contingent claims in the complete market when the g-expected shortfall risks are bounded. We give the optimal cooperative hedging strategy explicitly by the Neyman-Pearson lemma under g-probability.
基金Supported by the National Natural Science Foundation of China (No.10771119)the National Basic Research Program of China (973 Program,No.2007CB814901)+1 种基金the Central University of Finance and Economics211 project No.3.WCU program of the Korea Science and Engineering Foundation (R31-20007)
文摘Most work on capacities has focused on the 2-alternating and sub 2-alternating.In this paper we consider the capacities-g-probabilities derived from peng＇s g-expectations.When g satisfies some conditions,we show that the g-probabilities fail to be 2-alternating but are sub 2-alternating.
