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Motivated by the observation
that the gain-loss criterion, while offering economically meaningful prices of contingent claims,
is sensitive to the reference measure governing the underlying stock price process (a situation
referred to as ambiguity of measure), we propose a gain-loss pricing model robust to shifts in the reference measure.
Using a dual representation property of polyhedral risk measures
we obtain a one-step, gain-loss criterion based theorem of
asset pricing under ambiguity of...
We consider the non-convex quadratic maximization problem subject
to the unit ball constraint. The nature of the
norm
structure makes this problem extremely hard to analyze, and as a
consequence, the same difficulties are encountered when trying to
build suitable approximations for this problem by some tractable
convex counterpart formulations. We explore some properties of
this problem, derive SDP-like relaxations and raise open
questions.
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