论文标题
基于导数的投资组合决策。预期的公用事业见解
Derivatives-based portfolio decisions. An expected utility insight
论文作者
论文摘要
本文挑战了在投资组合结构中使用股票的情况，我们证明了亚洲衍生品，跨界或篮子可能是更方便的替代品。我们的结果是在黑色 - choles设置的假设下获得的，它揭示了衍生品的隐藏好处，这补充了其众所周知的对冲，风险管理和增加市场不完整的效用。新的见解也可以转移到更高级的随机设置。该分析依赖于最大化预期效用（EUT）代理的无限衍生物选择数量；我们建议将风险暴露最小化作为受法规启发的附加优化标准。为了简单起见，使用两个资产合作，我们证明，只需要两个衍生物来最大程度地提高效用，同时最大程度地减少风险敞口。在比较单权选项之间，例如美国，欧洲，亚洲，呼吁和推荐，我们证明，可用的最深处的亚洲产品是最大程度地减少曝光率的最佳选择。我们还探索了跨跨街区的最佳选择，这比流动性和重新平衡需求所致，这是更好的实用选择。还考虑了多资产衍生品的最佳性，确定篮子的选项可能比在许多现实情况下的单权亚洲呼叫/放置更好的选择。
This paper challenges the use of stocks in portfolio construction, instead we demonstrate that Asian derivatives, straddles, or baskets could be more convenient substitutes. Our results are obtained under the assumptions of the Black--Scholes--Merton setting, uncovering a hidden benefit of derivatives that complements their well-known gains for hedging, risk management, and to increase utility in market incompleteness. The new insights are also transferable to more advanced stochastic settings. The analysis relies on the infinite number of optimal choices of derivatives for a maximized expected utility (EUT) agent; we propose risk exposure minimization as an additional optimization criterion inspired by regulations. Working with two assets, for simplicity, we demonstrate that only two derivatives are needed to maximize utility while minimizing risky exposure. In a comparison among one-asset options, e.g. American, European, Asian, Calls and Puts, we demonstrate that the deepest out-of-the-money Asian products available are the best choices to minimize exposure. We also explore optimal selections among straddles, which are better practical choices than out-of-the-money Calls and Puts due to liquidity and rebalancing needs. The optimality of multi-asset derivatives is also considered, establishing that a basket option could be a better choice than one-asset Asian call/put in many realistic situations.
