论文28：『Group Assets Pricing and Risk Management in Hedging based on Multivariate Partial Distribution』, International Journal of Management Science and Engineering Management(Taylor & Francis), 2007, 2(2): 108-125.

摘要：This paper suggests the Multivariate Partial Distribution (MPD) for the first time, and establishes the new kinds of models for pricing the group assets (MPGA) based MPD, in which the competition and complementarity in cost resources are analyzed, and the way of dividing an asset into two assets is discussed. According to this study, integrated risk of group assets may be analyzed into two types — hedging risk and independent risk, for which corresponding representing models are given. Then, we could analyze the price risk and profit of the group assets in a more specific way. This study indicates that in most cases, a simple combination of assets hedging in the one-to-one mode cannot eliminate completely their market risks in any case, and puts forward a particular method of determining the optimal ratio between underlying asset and its derivative in hedging.

附件：Group Assets Pricing and Risk Management in Hedging based on Multivariate Partia.pdf

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