Cooperative hedging in incomplete markets

doi:10.1081/SAP-200056649

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	Cooperative hedging in incomplete markets
	Xia, JM
	2005
发表期刊	STOCHASTIC ANALYSIS AND APPLICATIONS
ISSN	0736-2994
卷号	23 期号:3 页码:475-489
摘要	The problem of (partial) hedging contingent claims for a single agent is well studied. This paper studies the problem for the multiagent case in incomplete markets. For this case, a cooperative hedging game is posed as follows: First, all agents contribute some money and collect the money together as the initial total capital, then invest the initial total capital in a trading strategy, and, finally, divide the terminal wealth of the trading strategy and each of them gets a part. We give a characterization of the optimal cooperative hedging strategy and prove that the core of the cooperative hedging game. as a cooperative game with side payment, is nonempty.
关键词	cooperative game core hedging minimax theorem
DOI	10.1081/SAP-200056649
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Statistics & Probability
WOS记录号	WOS:000229613900003
出版者	TAYLOR & FRANCIS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2022
专题	应用数学研究所
通讯作者	Xia, JM
作者单位	Chinese Acad Sci, Inst Appl Math, Adad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Xia, JM. Cooperative hedging in incomplete markets[J]. STOCHASTIC ANALYSIS AND APPLICATIONS,2005,23(3):475-489.
APA	Xia, JM.(2005).Cooperative hedging in incomplete markets.STOCHASTIC ANALYSIS AND APPLICATIONS,23(3),475-489.
MLA	Xia, JM."Cooperative hedging in incomplete markets".STOCHASTIC ANALYSIS AND APPLICATIONS 23.3(2005):475-489.