Large losses-probability minimizing approach
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].
Quantile hedging on markets with proportional transaction costs
The problem of risk measures in a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk are introduced. This gives a generalization of quantile hedging presented in [4].
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