Minimization of shortfall risk in a jump-diffusion model

Nakano, Y.

Hokkaido University Preprint Series in Mathematics, 2002, 571, 1-10

Permalink : https://doi.org/10.14943/83716

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アクセス権	open access
DOI	https://doi.org/10.14943/83716
URI	https://hdl.handle.net/2115/69320
タイトル	Minimization of shortfall risk in a jump-diffusion model
著者	著者名 Nakano, Y.
言語	英語
キーワード	shortfall risk
キーワード	jump-diffusion model
発行日	2002-11
出版者	Department of Mathematics, Hokkaido University
収録物名	Hokkaido University Preprint Series in Mathematics
巻(号)	571
ページ	1-10
抄録	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.
資源タイプ	紀要論文
出版タイプ	Version of Record