Model misspecification and pricing of illiquid claims

被引：2

作者：

Rubtsov, Alexey ^{[1
]}

机构：

[1] Ryerson Univ, Dept Math, Victoria Bldg,350 Victoria St, Toronto, ON, Canada

来源：

FINANCE RESEARCH LETTERS | 2016年 / 18卷

关键词：

Robust portfolio choice; Pricing illiquid claims; Nontraded assets; ROBUST PORTFOLIO RULES; VALUATION; AMBIGUITY; MARKETS; RISK; PREMIUM;

D O I：

10.1016/j.frl.2016.04.023

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper analyses the impact of model misspecification on pricing and hedging of illiquid claims. We consider the case when an ambiguous investor hedges his position in an illiquid claim, written on a nontraded asset, by investing in a tradable asset. The optimal trading strategy and utility indifference price of the claim are derived. It is shown that when the model for the underlying asset is misspecified, the utility indifference price is not necessarily increasing or decreasing in the correlation between traded and nontraded assets. An explanation for the puzzle of why small retail investors buy structured bonds is given. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：242 / 249

页数：8

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