Displaying similar documents to “Local risk-minimization for multidimensional assets and payment streams”

Risk minimization in the model with transaction costs

Michał Motoczyński (2003)

Applicationes Mathematicae

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The problem of hedging a contingent claim with minimization of quadratic risk is studied. Existence of an optimal strategy for the model with proportional transaction cost and nondelayed observation is shown.

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

Marek Andrzej Kociński (2012)

Applicationes Mathematicae

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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.

Strategic Trade Between Two Countries - Exploring the Case of Partial Local Consumer Protection

Iordanov, Iordan, Vassilev, Andrey (2017)

Serdica Journal of Computing

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The paper develops a dynamic model of trade between two countries where the trading entities interact in a strategic context. Consumers in both countries are endowed with certain incomes and try to acquire as much as possible of the quantities available on the markets. Consumers have privileged access to some of the good supplied locally, a form of partial local protection. Over time, prices are adjusted to respond to the outcomes of trading. For this setup, we prove the existence of...

Producing the tangency portfolio as a corner portfolio

Reza Keykhaei, Mohamad-Taghi Jahandideh (2013)

RAIRO - Operations Research - Recherche Opérationnelle

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One-fund theorem states that an efficient portfolio in a Mean-Variance (M-V) portfolio selection problem for a set of some risky assets and a riskless asset can be represented by a combination of a unique risky fund (tangency portfolio) and the riskless asset. In this paper, we introduce a method for which the tangency portfolio can be produced as a corner portfolio. So, the tangency portfolio can be computed easily and fast by any algorithm designed for tracing out the M-V efficient...