Information Geometry of Risks and Returns

• Tác giả: Andrei N Soklakov
• Ngôn ngữ: eng
• Ký hiệu phân loại: 516.1 General aspects of geometry
• Thông tin xuất bản: 2022
• Bộ sưu tập: Metadata
• ID: 195451

Tóm tắt

Comment: 25 pages, 2 figuresWe reveal a geometric structure underlying both hedging and investment products. The structure follows from a simple formula expressing investment risks in terms of returns. This informs optimal product designs. Optimal pure hedging (including cost-optimal products) and hybrid hedging (where a partial hedge is built into an optimal investment product) are considered. Duality between hedging and investment is demonstrated with applications to optimal risk recycling. A geometric interpretation of rationality is presented.