英文标题：
《Good Deal Hedging and Valuation under Combined Uncertainty about Drift
and Volatility》
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作者：
Dirk Becherer and Klebert Kentia
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最新提交年份：
2017
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英文摘要：
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral pricing measures such that not only opportunities for arbitrage are excluded but also deals that are too good, by restricting instantaneous Sharpe ratios. A non-dominated multiple priors approach to model uncertainty (ambiguity) leads to worst-case good-deal bounds. Corresponding hedging strategies arise as minimizers of a suitable coherent risk measure. Good-deal bounds and hedges for measurable claims are characterized by solutions to second-order backward stochastic differential equations whose generators are non-convex in the volatility. These hedging strategies are robust with respect to uncertainty in the sense that their tracking errors satisfy a supermartingale property under all a-priori valuation measures, uniformly over all priors.
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中文摘要：
我们研究了在资产价格漂移和波动的组合不确定性下，良好交易套期保值和估值的稳健概念。好的交易边界由风险中性定价措施的子集决定，这样不仅排除了套利机会，而且通过限制瞬时夏普比率，也排除了太好的交易。模型不确定性（模糊性）的非支配多先验方法会导致最坏情况下的好交易边界。相应的对冲策略作为适当的一致性风险度量的最小值出现。可测索赔的好交易边界和套期保值的特征是二阶倒向随机微分方程的解，其生成元在波动率中是非凸的。这些对冲策略在不确定性方面是稳健的，因为它们的跟踪误差在所有先验估值度量下均满足超鞅性质，在所有先验上都是一致的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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