报告人：卓小杨 副研究员（北京理工大学）

时间：2025年04月24日 14:00-

地点：理科楼LA103

摘要：This paper introduces Multiverse Equivalent Expectation Measures (MEEMs)for deriving analytical solutions to the variance, covariance, and higher-order moments and co-moments of contingent claim returns over a finite horizon. We show that the solutions for the M^th-order moment or co-moments require constructing a MEEM within an expanded probability product space of M identical marginal probability spaces, representing M-1 parallel universes in addition to the original universe. The state variables evolve identically across all universes up to the horizon date but diverge independently thereafter. Using different classes of MEEMs, we offer a comprehensive analytical framework for deriving analytical solutions of higher-order moments and co-moments of returns on financial derivatives and fixed income securities. This unified framework significantly broadens the application of econometric methods to asset pricing and portfolio management for contingent claims.

邀请人: 张志民

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