Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables

We develop a methodology to optimally design a financial issue to hedge non-tradable risk on financial markets. Modeling involves a minimization of the risk borne by issuer given a buyer constraint, who enters the transaction if and only if his risk level remains below a given threshold. Both agents have also the opportunity to invest all their residual wealth on financial markets. The problem is reduced to a unique convex optimization problem and its solution in the entropic framework is proportional to the issuer initial exposure. To cite this article: P. Barrieu, N. El Karoui, C. R. Acad. Sci. Paris, Ser. I 336 (2003).