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2783脑筋急转弯中等derivationmedium

Choosing Between a Fragile and a Robust Hedge

题目

A trader chooses between Hedge A and Hedge B. Nature chooses Stress 1 or Stress 2. The trader's PnL matrix is \[ \begin{pmatrix} 3 & -2 \\ 0 & 1 \end{pmatrix}. \] Treat Nature as an adversary in a zero-sum game. Find the trader's optimal mix and the value.

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你的答案

Trader's optimal probability for Hedge A

Nature's optimal probability for Stress 1

Value of the game