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

被引：6
|
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
收藏
页码：652 / 666
页数：15
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