Large losses-probability minimizing approach
Applicationes Mathematicae (2004)
- Volume: 31, Issue: 3, page 243-257
- ISSN: 1233-7234
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topMichał Baran. "Large losses-probability minimizing approach." Applicationes Mathematicae 31.3 (2004): 243-257. <http://eudml.org/doc/279362>.
@article{MichałBaran2004,
abstract = {The probability minimizing problem for large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].},
author = {Michał Baran},
journal = {Applicationes Mathematicae},
keywords = {quantile hedging; efficient hedging},
language = {eng},
number = {3},
pages = {243-257},
title = {Large losses-probability minimizing approach},
url = {http://eudml.org/doc/279362},
volume = {31},
year = {2004},
}
TY - JOUR
AU - Michał Baran
TI - Large losses-probability minimizing approach
JO - Applicationes Mathematicae
PY - 2004
VL - 31
IS - 3
SP - 243
EP - 257
AB - The probability minimizing problem for large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].
LA - eng
KW - quantile hedging; efficient hedging
UR - http://eudml.org/doc/279362
ER -
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