英文标题：
《Incorporating Views on Marginal Distributions in the Calibration of Risk
  Models》
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作者：
Santanu Dey, Sandeep Juneja, Karthyek R. A. Murthy
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最新提交年份：
2014
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英文摘要：
  Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in the literature, corresponds to finding a probability measure that minimizes relative entropy with respect to a specified measure while satisfying constraints on moments of associated random variables. These moments may correspond to views held by experts in the portfolio risk setting and to market prices of liquid options for options pricing models. However, it is reasonable that in the former settings, the experts may have views on tails of risks of some securities. Similarly, in options pricing, significant literature focuses on arriving at the implied risk neutral density of benchmark instruments through observed market prices. With the intent of calibrating models to these more general stipulations, we develop a unified entropy based methodology to allow constraints on both moments as well as marginal distributions of functions of underlying securities. This is applied to Markowitz portfolio framework, where a view that a particular portfolio incurs heavy tailed losses is shown to lead to fatter and more reasonable tails for losses of component securities. We also use this methodology to price non-traded options using market information such as observed option prices and implied risk neutral densities of benchmark instruments.
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中文摘要：
基于熵的思想在金融领域有着广泛的应用，可以校准投资组合风险模型和期权定价。文献中广泛研究的抽象问题对应于找到一个概率测度，该概率测度在满足相关随机变量矩约束的同时，使相对于指定测度的相对熵最小化。这些时刻可能与投资组合风险设置专家持有的观点以及期权定价模型中流动期权的市场价格相对应。然而，在前一种情况下，专家可能对某些证券的风险尾部有看法，这是合理的。同样，在期权定价中，大量文献关注通过观察到的市场价格得出基准工具的隐含风险中性密度。为了根据这些更一般的规定校准模型，我们开发了一种统一的基于熵的方法，以允许对基础证券函数的矩和边际分布进行约束。这一点适用于Markowitz投资组合框架，在该框架中，一个特定投资组合会产生重尾损失的观点被证明会导致组成证券损失的更大、更合理的尾部。我们还使用这种方法，利用观察到的期权价格和基准工具的隐含风险中性密度等市场信息，对非交易期权进行定价。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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