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Minimization of shortfall risk in a jump-diffusion model
| Title: | Minimization of shortfall risk in a jump-diffusion model |
| Authors: | Nakano, Y. Browse this author |
| Keywords: | shortfall risk | | jump-diffusion model |
| Issue Date: | Nov-2002 |
| Publisher: | Department of Mathematics, Hokkaido University |
| Journal Title: | Hokkaido University Preprint Series in Mathematics |
| Volume: | 571 |
| Start Page: | 1 |
| End Page: | 10 |
| Abstract: | We consider a contingent claim in a jump-diffusion model of complete market. Given initial wealth less than the replicating cost, we explicitly solve the problem of minimizing the expected value of hedging loss weighted by power functions. We show that the optimal portfolio is the difference between the perfect hedging portfolio of the contingent claim and the optimal portfolio of a utility minimization problem. We also give an explicit formula for the value function. These results hold for every European-type contingent claim. |
| Type: | bulletin (article) |
| URI: | http://hdl.handle.net/2115/69320 |
| 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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