Barrieu, Pauline 
ORCID: 0000-0001-9473-263X 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 |
| Divisions: | Statistics Centre for Analysis of Time Series |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 27 Feb 2014 12:41 |
| Last Modified: | 11 Dec 2024 16:58 |
| URI: | http://eprints.lse.ac.uk/id/eprint/55895 |
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