کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
698236 890399 2008 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Hedging global environment risks: An option based portfolio insurance
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Hedging global environment risks: An option based portfolio insurance
چکیده انگلیسی

This paper introduces a financial hedging model for global environmental risks. Our approach is based on portfolio insurance under hedging constraints. Each investor is assumed to maximize the expected utility of his/her portfolio which includes financial and environmental assets. The optimal investment is determined for quite general utility functions and hedging constraints. Our results show how and why derivative assets should be introduced in the portfolio to hedge environmental risks.The main conclusion of the paper is that new types of options which combine both equity and environmental assets should be used, contrary to the current practice which considers two separate option markets.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Automatica - Volume 44, Issue 6, June 2008, Pages 1519–1531
نویسندگان
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