论文标题
风险和回报的信息几何形状
Information Geometry of Risks and Returns
论文作者
论文摘要
我们揭示了对冲和投资产品的几何结构。该结构来自一个简单的公式，该公式在收益方面表达了投资风险。这为最佳产品设计提供了信息。考虑了最佳的纯对冲（包括成本优势的产品）和混合套期保值（其中内置了部分对冲中的最佳投资产品）。对冲和投资之间的二元性可以证明最佳风险回收的应用。提出了理性的几何解释。
We 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.
