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Abstract: We present an approach to derivative exposure management based on subjectiveand implied probabilities. We suggest to maximize the valuation differencesubject to risk constraints and propose a class of risk measures derived fromthe subjective distribution. We illustrate this process with specific examplesfor the two and three dimensional case. In these cases the optimization can beperformed graphically.



Autor: Ulrich Kirchner

Fuente: https://arxiv.org/







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