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Robust hedging in incomplete markets

机译：在不完整的市场中进行稳健的对冲

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摘要

We considered a pension fund that needs to hedge uncertain long-term liabilities. We modeled the pension fund as a robust investor facing an incomplete market and fearing model uncertainty for the evolution of its liabilities. The robust agent is assumed to minimize the shortfall between the assets and liabilities under an endogenous worst-case scenario by means of solving a min-max robust optimization problem. When the funding ratio is low, robustness reduces the demand for risky assets. However, cherishing the hope of covering the liabilities, a substantial risk exposure is still optimal. A longer investment horizon or a higher funding ratio weakens the investor's fear of model misspecification. If the expected equity return is overestimated, the initial capital requirement for hedging can be decreased by following the robust strategy.
机译：我们考虑了一种需要对冲不确定的长期负债的养老基金。我们将养老基金建模为一个健壮的投资者，面对一个不完整的市场，并担心其负债演变的模型不确定性。通过解决最小-最大鲁棒优化问题，假定鲁棒代理可以在内生最坏情况下最大程度地减少资产和负债之间的缺口。当资金比率低时，稳健性会降低对风险资产的需求。然而，怀有承担债务的希望，实质风险敞口仍然是最佳的。更长的投资期限或更高的融资比率减轻了投资者对模型规格错误的担心。如果预期的股本回报率被高估，则遵循稳健的策略可以降低套期保值的初始资本要求。

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  • 来源
    《Journal of pension economics and finance》 |2019年第3期|473-493|共21页
  • 作者

    Shen Sally; Pelsser Antoon; Schotman Peter;

  • 作者单位

    Global Risk Inst, 55 Univ Ave, Toronto, ON M5J 2H7, Canada|Network Studies Pens Aging & Retirement, Tilburg, Netherlands;

    Maastricht Univ, Network Studies Pens Aging & Retirement, POB 616, NL-6200 MD Maastricht, Netherlands|Maastricht Univ, Dept Finance, POB 616, NL-6200 MD Maastricht, Netherlands;

    Maastricht Univ, Network Studies Pens Aging & Retirement, POB 616, NL-6200 MD Maastricht, Netherlands|Maastricht Univ, Dept Finance, POB 616, NL-6200 MD Maastricht, Netherlands;

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  • 原文格式 PDF
  • 正文语种 eng
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  • 关键词

    Model uncertainty; robust optimization; incomplete market; dynamic hedging; expected shortfall;

    机译：模型不确定性;稳健优化;市场不完整;动态对冲;预期缺口;

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