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文章研究了具有Knight不确定性的金融市场,利用倒向随机微分方程(BSDE)的重要理论以及时间-风险折现方法,探讨了一般风险资产的动态定价公式,求出了一般风险资产在Knight不确定性控制集合上的动态最小定价.最后通过研究某种风险资产的动态最小定价公式,借助于数值分析,揭示了Knight不确定性对风险资产定价的重要影响. 相似文献
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Ryle S. Perera 《随机性模型》2017,33(3):343-375
Motivated by the Basel Capital Accord Requirement (CAR), we analyze a risk control portfolio selection problem under exponential utility when a banker faces both Brownian and jump risks. The banker's risk process and the dynamics of the risky asset process are modeled as jump-diffusion processes. Assuming that the constraint set of all trading strategies is in a closed set, we study the terminal utility optimization problem via the backward stochastic differential equation (BSDE) under risk regulation paradigm. We construct the BSDE by means of the martingale optimality principle, giving conditions for the corresponding generator to be well defined in order to derive the bounds on the candidate optimal strategy. We then construct an internal model for the bank under Basel III CAR, which is formulated from the total risk-weighted assets (TRWA's) and bank capital. The results obtained from this model can be adopted within the banking sector when setting up asset investment strategies and advanced risk management models, as advocated by the Basel III Accord. 相似文献
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