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Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints
| Title: | Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints |
| Authors: | Nakano, Y. Browse this author |
| Keywords: | coherent risk measure | | shortfall risk | | constrained strategy | | super-hedging | | convex duality |
| Issue Date: | Feb-2002 |
| Publisher: | Department of Mathematics, Hokkaido University |
| Journal Title: | Hokkaido University Preprint Series in Mathematics |
| Volume: | 547 |
| Start Page: | 1 |
| End Page: | 22 |
| Abstract: | This 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. |
| Type: | bulletin (article) |
| URI: | http://hdl.handle.net/2115/69296 |
| Appears in Collections: | 理学院・理学研究院 (Graduate School of Science / Faculty of Science) > Hokkaido University Preprint Series in Mathematics
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Submitter: 数学紀要登録作業用
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