风险帕累托最优再分配的紧凑证券市场

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摘要翻译：
证券市场是经济学和金融学研究不确定性条件下资源配置的基本理论框架。证券既用于重新分配风险，又用于传播概率信息。完全证券市场--每一种可能的自然状态都包含一种证券--支持帕累托最优风险分配。完全市场与联合概率分布一样，受潜在事件数量的指数依赖性影响。我们研究市场是否可以像联合分布的贝叶斯网络表示那样被构造和“压缩”。我们证明，如果所有代理人的风险中性独立性都与市场结构中编码的独立性一致，那么市场是完全的：风险仍然是帕累托最优分配的，但证券的数量可以指数地减少。对于某种类型的代理人集合，在马尔可夫独立性上的协议足以允许紧凑和操作完全的市场。
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英文标题：
《Compact Securities Markets for Pareto Optimal Reallocation of Risk》
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作者：
David M. Pennock, Michael P. Wellman
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最新提交年份：
2013
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分类信息：

一级分类：Computer Science        计算机科学
二级分类：Computer Science and Game Theory        计算机科学与博弈论
分类描述：Covers all theoretical and applied aspects at the intersection of computer science and game theory, including work in mechanism design, learning in games (which may overlap with Learning), foundations of agent modeling in games (which may overlap with Multiagent systems), coordination, specification and formal methods for non-cooperative computational environments. The area also deals with applications of game theory to areas such as electronic commerce.
涵盖计算机科学和博弈论交叉的所有理论和应用方面，包括机制设计的工作，游戏中的学习（可能与学习重叠），游戏中的agent建模的基础（可能与多agent系统重叠），非合作计算环境的协调、规范和形式化方法。该领域还涉及博弈论在电子商务等领域的应用。
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  The emph{securities market} is the fundamental theoretical framework in economics and finance for resource allocation under uncertainty. Securities serve both to reallocate risk and to disseminate probabilistic information. emph{Complete} securities markets - which contain one security for every possible state of nature - support Pareto optimal allocations of risk. Complete markets suffer from the same exponential dependence on the number of underlying events as do joint probability distributions. We examine whether markets can be structured and "compacted" in the same manner as Bayesian network representations of joint distributions. We show that, if all agents' risk-neutral independencies agree with the independencies encoded in the market structure, then the market is emph{operationally complete}: risk is still Pareto optimally allocated, yet the number of securities can be exponentially smaller. For collections of agents of a certain type, agreement on Markov independencies is sufficient to admit compact and operationally complete markets.
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PDF链接：
https://arxiv.org/pdf/1301.3886

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关键词：帕累托最优 证券市场 帕累托 再分配 Applications risk 金融学 emph operationally 指数