Barrieu, Pauline and El Karoui , Nicole (2004) Optimal derivatives design under dynamic risk measures. In: Yin, George and Zhang, Qing , (eds.) Mathematics of Finance. Contemporary mathematics(351). American Mathematical Society , Providence, USA, pp. 13-26. ISBN 9780821834121
Abstract
We develop a methodology to optimally design a financial issue to hedge non-tradable risk on financial markets. Economic agents assess their risk using monetary risk measure. The inf-convolution of convex risk measures is the key transformation in solving this optimization problem. When agents' risk measures only di#er from a risk aversion coe#cient, the optimal risk transfer is amazingly equal to a proportion of the initial risk.
| Item Type: | Book Section |
|---|---|
| Official URL: | http://www.ams.org/publications/ebooks/ebooks |
| Additional Information: | © 2004 American Mathematical Society |
| Library of Congress subject classification: | Q Science > QA Mathematics |
| Sets: | Departments > Statistics Research centres and groups > Centre for the Analysis of Time Series (CATS) Research centres and groups > Risk and Stochastics Group |
| Date Deposited: | 27 Feb 2014 12:41 |
| URL: | http://eprints.lse.ac.uk/55895/ |
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