英文标题：
《Hedging under multiple risk constraints》
---
作者：
Ying Jiao, Olivier Klopfenstein and Peter Tankov
---
最新提交年份：
2013
---
英文摘要：
Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio, which outperforms a given set of stochastic benchmarks. For a specified loss function, the expected shortfall with respect to each of the benchmarks weighted by this loss function must remain bounded by a given threshold. We consider different alternative formulations of this problem in a complete market setting, establish the relationship between these formulations, present a general resolution methodology via dynamic programming in a non-Markovian context and give explicit solutions in special cases.
---
中文摘要：
受核电站运营商资产负债管理的启发，我们考虑了寻找性能优于给定随机基准集的最便宜投资组合的问题。对于指定的损失函数，与该损失函数加权的每个基准相关的预期差额必须保持在给定阈值的范围内。我们在一个完整的市场环境中考虑这个问题的不同替代公式，建立这些公式之间的关系，在非马尔可夫环境下通过动态规划提出一种通用的解决方法，并在特殊情况下给出显式解。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--

---
PDF下载：
-->