2024-03-29T11:31:41Zhttps://eprints.lib.hokudai.ac.jp/dspace-oai/requestoai:eprints.lib.hokudai.ac.jp:2115/692962022-11-17T02:08:08Zhdl_2115_45007hdl_2115_116Minimizing coherent risk measures of shortfall in discrete-time models with cone constraintsNakano, Y.open accesscoherent risk measureshortfall riskconstrained strategysuper-hedgingconvex duality410This paper studies the problem or minimizing coherent risk measures or shortfall for general discrete-time financial models with cone-constrained trading strategies, as developed by Pham and Touzi (1999) and Pham (1999). We show that the optimal strategy is obtained by super-hedging a contingent claim, which is represented as a .Xeyman-Pearson-type random variable.Department of Mathematics, Hokkaido University2002-02engdepartmental bulletin paperVoRhttps://doi.org/10.14943/83692http://hdl.handle.net/2115/6929610.14943/83692Hokkaido University Preprint Series in Mathematics547122https://eprints.lib.hokudai.ac.jp/dspace/bitstream/2115/69296/1/pre547.pdfapplication/pdf712.34 KB2002-02