第18回研究会

開催日：

2017年5月2日 (火)　16:00-17:30

会場：

丸の内永楽ビルディング18階 首都大学東京 丸の内サテライトキャンパス

報告者：

Prof. Dorje Brody (Brunel University)

タイトル：

Implied dynamical market price of risk

概要Abstract

When investors have heterogeneous attitudes towards risk, it is reasonable to assume that each investor has a pricing kernel, and that these individual pricing kernels are aggregated to form a market pricing kernel. The various investors are then buyers or sellers depending on how their individual pricing kernels compare with that of the market. In Brownian-based models, we can represent such heterogeneous attitudes by letting the market price of risk be a random variable, the distribution of which corresponds to the variability of attitude across the market. If the flow of market information is determined by the movements of prices, then neither the Brownian driver nor the market price of risk are directly visible: the filtration is generated by an ‘information process’ given by a combination of the two. We show that the market pricing kernel is then given by the harmonic mean of the individual pricing kernels associated with the various market participants. Remarkably, with an appropriate definition of Levy information one draws the same conclusion in the case when asset prices can jump. As a consequence, we are led to a rather general scheme for the management of investments in heterogeneous markets subject to jump risk.