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Trading strategies with partial access to the derivatives market

机译：部分进入衍生品市场的交易策略

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摘要

This research analyzes trading strategies with derivatives when there are several assets and risk factors. We investigate portfolio improvement if investors have full and partial access to the derivatives markets, i.e. situations in which derivatives are written on some but not all stocks or risk factors traded on the market. The focus is on markets with jump risk. In these markets the choice of optimal exposures to jump and diffusion risk is linked. In a numerical application we study the potential benefit from adding derivatives to the market. It turns out that e.g. diffusion correlation and volatility or jump sizes may have a significant impact on the benefit of a new derivative product even if market prices of risk remain unchanged. Given the structure of risk investors may have different preferences for making risk factors tradable. Utility gains provided by new derivatives may be both increasing or decreasing depending on the type of contract added.
机译：这项研究分析了存在多种资产和风险因素时的衍生品交易策略。如果投资者能够完全和部分进入衍生品市场，即在衍生品只写在部分而非全部股票或市场上交易的风险因素上的情况下，我们将研究投资组合的改善情况。重点是存在跳高风险的市场。在这些市场中，选择最佳的跳跃和扩散风险敞口是有联系的。在数值应用中，我们研究了向市场添加衍生工具的潜在收益。事实证明，例如即使风险市场价格保持不变，扩散相关性，波动性或跳跃规模也可能对新衍生产品的收益产生重大影响。考虑到风险的结构，投资者在使风险因素可交易方面可能有不同的偏好。新衍生工具提供的效用收益可能增加或减少，具体取决于所添加合同的类型。

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