Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk

被引：7

作者：

Evstigneev, I. V. ^{[1
]}

Zhitlukhin, M. V. ^{[1
,2
]}

机构：

[1] Univ Manchester, Manchester, Lancs, England

[2] VA Steklov Math Inst, Moscow 117333, Russia

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS | 2013年 / 85卷 / 04期

关键词：

hedging; multimarket models; von Neumann-Gale dynamical systems; controlled random fields; consistent price systems; STOCHASTIC EQUILIBRIA; ARBITRAGE; GRAPHS;

D O I：

10.1080/17442508.2013.795565

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We develop a model of asset pricing and hedging for interconnected financial markets with frictions - transaction costs and portfolio constraints. The model is based on a control theory for random fields on a directed graph. Market dynamics are described by using von Neumann-Gale dynamical systems first considered in connection with the modelling of economic growth [13,24]. The main results are hedging criteria stated in terms of risk-acceptable portfolios and consistent price systems, extending the classical superreplication criteria formulated in terms of equivalent martingale measures.

引用

页码：652 / 666

页数：15

共 24 条

[1]

[Anonymous], 2009, Markets with Transaction Costs Mathematical Theory

[2]

Arkin V.I., 1987, STOCHASTIC MODELS CO

[3] PRICING WITH COHERENT RISK [J].