5月10日财务金融系系列讲座之六十七
时间：2011年5月10日（周二） 14：00
地点：复旦大学管理学院 史带楼503教室
主持人：复旦大学管理学院财务金融系 马成虎 教授
题目：Optimal Hedging under Knightian Uncertainty
主讲人：Prof. Hyeng Keun Koo，School of Business Administration, Ajou University
摘要: Optimal hedging is considered under Knightian uncertainty. In complete markets, every contingent claim can be replicated with trading assets, which make its pricing irrelevant to subjective beliefs to the future states. To the contrary, in incomplete markets, an agent with an obligation from contingent claims could not fully hedge his position, so that his pricing of the contingent claims is sensitive to the beliefs to the future states. We investigate the agent's optimal hedging decision under Knightian uncertainty in a simple single-period model.
财务金融系
2011年5月4日
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