The martingale method of shortfall risk minimization in a discrete time market

Marek Andrzej Kociński. "The martingale method of shortfall risk minimization in a discrete time market." Applicationes Mathematicae 39.4 (2012): 413-424. <http://eudml.org/doc/280002>.

@article{MarekAndrzejKociński2012,
abstract = {The shortfall risk minimization problem for the investor who hedges a contingent claim is studied. It is shown that in case the nonnegativity of the final wealth is not imposed, the optimal strategy in a finite market model is obtained by super-hedging a contingent claim connected with a martingale measure which is a solution of an auxiliary maximization problem.},
author = {Marek Andrzej Kociński},
journal = {Applicationes Mathematicae},
keywords = {contingent claim; self-financing strategy; shortfall risk minimization; super-hedging},
language = {eng},
number = {4},
pages = {413-424},
title = {The martingale method of shortfall risk minimization in a discrete time market},
url = {http://eudml.org/doc/280002},
volume = {39},
year = {2012},
}

TY - JOUR
AU - Marek Andrzej Kociński
TI - The martingale method of shortfall risk minimization in a discrete time market
JO - Applicationes Mathematicae
PY - 2012
VL - 39
IS - 4
SP - 413
EP - 424
AB - The shortfall risk minimization problem for the investor who hedges a contingent claim is studied. It is shown that in case the nonnegativity of the final wealth is not imposed, the optimal strategy in a finite market model is obtained by super-hedging a contingent claim connected with a martingale measure which is a solution of an auxiliary maximization problem.
LA - eng
KW - contingent claim; self-financing strategy; shortfall risk minimization; super-hedging
UR - http://eudml.org/doc/280002
ER -