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Currently displaying 1 – 2 of 2

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Large losses-probability minimizing approach

Michał Baran — 2004

Applicationes Mathematicae

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

Michał Baran — 2003

Applicationes Mathematicae

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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