دانلود رایگان مقاله لاتین ریسک گریزی شرکت سیاست عملیاتی ممانعت مالی از سایت الزویر
عنوان فارسی مقاله:
همکاری سیاست های عملیاتی با ممانعت مالی برای ریسک گریزی شرکت ها
عنوان انگلیسی مقاله:
Coordinating operational policy with financial hedging for risk-averse firms
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
2.2. Financial Hedging
Portfolio As is standard in the finance literature, given a probability space (Ω, , F Q) that describes the possible states of the financial market, the financial market is characterized by the price vector ( ) X X t t t = ω of a set of securities at any time t . Here, we use the term “security” to denote all the relevant financial hedging instruments (e.g., commodity futures and options) available in the financial market. Let 0 { } Ft t T ≤ ≤ be the natural filtration generated by the stochastic process Xt . Without loss of generality, the probability measure Q is the risk-neutral probability measure, which amounts to requiring that Xt is a Q-martingale, i.e., 0 Q t E = X X (Duffie 2001). For the moment, the risk-free interest rate is assumed to be 0, and this assumption will be relaxed in section 3.3. To avoid unnecessary complexity and without loss of generality, the “building blocks” that we use to construct the hedging portfolio are the attainable contingent claims. A contingent claim 9 G is said to be attainable if and only if there is a predictable self-financing strategy θ such that G G ( ) θ = , where the gain process G( ) θ is defined as follows: 0 ( ) ( ) T G t d t = ⋅ ∫ θ θ X See Duffie (2001) for a detailed technical discussion of the attainable contingent claims as well as self-financing trading strategy. Further, following Caldentey and Haugh (2009), we assume that the financial market itself is complete in that any FT -measurable contingent claims are attainable. Such a complete financial market assumption relaxes the aforementioned complete market assumption – it does not exclude the existence of the nonfinancial random factors that are irrelevant to the financial market. The completeness of the financial market is also equivalent to the uniqueness of the risk-neutral probability measure Q (Duffie 2001). Given the complete financial market assumption, any FT -measurable contingent claims must be attainable, thus allowing us to avoid the tremendous complexity of solving for the self-financing trading strategies for the financial hedging. For more discussion of the attainable contingent claim, selffinancing trading strategy, and complete financial market, see Harrison and Kreps (1979), and Duffie (2001); for a detailed justification of the complete financial market assumption, see Caldentey and Haugh (2009).
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کلمات کلیدی:
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