Research On Effective Hedging Problems In Ambiguous Situations

With the continuous development of financial markets and the significant problem of incomplete markets,more and more traders are hedging to reduce the risk to their assets.One of the reasons for an incomplete market is market uncertainty.For uncertainty,ambiguity is an important part of status second only to risk.In daily financial transactions,investors face the financial market is often a highly ambiguous real world,when the risk market price is determined,we can get a probability measure,but in the incomplete market risk market price is a variable,so the probability measure is also uncertain.We believe that the ambiguity of the financial market is mainly reflected in the subjective priori uncertainty of each person,so traders will make different judgments due to different subjective priors when facing uncertain liabilities,so subjective priori has become the main ambiguous factor to be considered in this article.Starting from the problem of effective hedging strategy,this paper introduces the double expectation model and the hierarchical dependent utility model when establishing the problem model,and uses the optimal control theory to solve the hedging strategy problem caused by the uncertainty of subjective prior and contingent claims,and brings subjective prior and contingent claims into the specific distribution function to make the uncertainties concrete.This paper is divided into five parts: the first part is an introduction,which mainly introduces the research background of effective hedging and fuzzy models,and expounds the research status of optimal hedging strategies under fuzzy conditions at home and abroad.The second part is a detailed introduction to the relevant theories established in this paper,introducing the hedging problem model,the double expectation model and the hierarchical dependent utility model in previous research,and establishing the effective hedging problem model under the corresponding assumptions.The third part is the optimal strategy solution process of the effective hedging problem,and compared with the effective hedging in the determined state,the influence of two uncertainties on the optimal strategy of effective hedging is observed.The fourth part substituts the specific distribution function into the expression of the final wealth corresponding to the effective hedging optimal strategy,so as to concretize the subjective prior and contingent claims;The fifth part summarizes the content of the research in this paper and analyzes the shortcomings in the research,which guides the direction of the next research.