英文标题：
《Hedging Non-Tradable Risks with Transaction Costs and Price Impact》
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作者：
Alvaro Cartea, Ryan Donnelly, Sebastian Jaimungal
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最新提交年份：
2020
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英文摘要：
A risk-averse agent hedges her exposure to a non-tradable risk factor $U$ using a correlated traded asset $S$ and accounts for the impact of her trades on both factors. The effect of the agent\'s trades on $U$ is referred to as cross-impact. By solving the agent\'s stochastic control problem, we obtain a closed-form expression for the optimal strategy when the agent holds a linear position in $U$. When the exposure to the non-tradable risk factor $\\psi(U_T)$ is non-linear, we provide an approximation to the optimal strategy in closed-form, and prove that the value function is correctly approximated by this strategy when cross-impact and risk-aversion are small. We further prove that when $\\psi(U_T)$ is non-linear, the approximate optimal strategy can be written in terms of the optimal strategy for a linear exposure with the size of the position changing dynamically according to the exposure\'s \"Delta\" under a particular probability measure.
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中文摘要：
风险厌恶代理使用相关交易资产美元美元对冲其在非交易风险因素美元中的敞口，并说明其交易对这两个因素的影响。代理人的交易对美元的影响被称为交叉影响。通过求解agent的随机控制问题，我们得到了当agent在美元内保持线性位置时最优策略的一个闭式表达式。当不可交易风险因子$\\ psi（U\\T）$的敞口为非线性时，我们以封闭形式提供了最优策略的近似值，并证明了当交叉影响和风险规避较小时，该策略可以正确地近似值函数。我们进一步证明，当$\\ psi（U\\T）$为非线性时，近似最优策略可以写成线性曝光的最优策略，在特定概率测度下，位置大小根据曝光的“Delta”动态变化。
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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：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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