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Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows
http://hdl.handle.net/2261/55618
http://hdl.handle.net/2261/5561864e2a82b-c436-4602-8c3e-a9c71e63e99d
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2014-01-16 | |||||
タイトル | ||||||
タイトル | Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Mean-variance hedging | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | BSDE | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Filtering | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Queueing | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Jackson’s network | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Poisson random measure | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Fujii, Masaaki
× Fujii, Masaaki× Takahashi, Akihiko |
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著者所属 | ||||||
著者所属 | Graduate School of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | All the financial practitioners are working in incomplete markets full of unhedgeable risk-factors. Making the situation worse, they are only equipped with the imperfect information on the relevant processes. In addition to the market risk, fund and insurance managers have to be prepared for sudden and possibly contagious changes in the investment flows from their clients so that they can avoid the over- as well as under-hedging. In this work, the prices of securities, the occurrences of insured events and (possibly a network of) the investment flows are used to infer their drifts and intensities by a stochastic filtering technique. We utilize the inferred information to provide the optimal hedging strategy based on the mean-variance (or quadratic) risk criterion. A BSDE approach allows a systematic derivation of the optimal strategy, which is shown to be implementable by a set of simple ODEs and the standard Monte Carlo simulation. The presented framework may also be useful for manufactures and energy firms to install an efficient overlay of dynamic hedging by financial derivatives to minimize the costs. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-914, 発行日 2014-01 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2014/2014cf914ab.html |