Displaying similar documents to “Risk and uncertainty aversion with multidimensional consequences.”

Some short elements on hedging credit derivatives

Philippe Durand, Jean-Frédéric Jouanin (2007)

ESAIM: Probability and Statistics

Similarity:

In practice, it is well known that hedging a derivative instrument can never be perfect. In the case of credit derivatives ( synthetic CDO tranche products), a trader will have to face some specific difficulties. The first one is the inconsistence between most of the existing pricing models, where the risk is the occurrence of defaults, and the real hedging strategy, where the trader will protect his portfolio against small CDS spread movements. The second one, which is the main subject...

Multi-attribute evaluation with imprecise vector utility

Sixto Ríos-Insua, Alfonso Mateos (1996)

Revista de la Real Academia de Ciencias Exactas Físicas y Naturales

Similarity:

We consider the multi-attribute decision making problem with incomplete information on the decision maker's preferences, given by an imprecise vector utility function. We introduce an approximation set to the utility efficient set which may be used to aid a decision maker in reaching a final compromise strategy. We provide sorne properties and an interactive procedure based on such approximation set.