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Dynamic below-target semi-variance risk measure in a fractional Black-Scholes market - MaRDI portal

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Dynamic below-target semi-variance risk measure in a fractional Black-Scholes market (Q2916596)

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scientific article; zbMATH DE number 6091101
Language Label Description Also known as
English
Dynamic below-target semi-variance risk measure in a fractional Black-Scholes market
scientific article; zbMATH DE number 6091101

    Statements

    author
    M. W. Luke Chan
    0 references
    Li'an Qu
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    Huayue Zhang
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    publication date
    5 October 2012
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    zbMATH Keywords
    downside risk
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    fractional Brownian motion
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    Clark-Ocone theorem
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    title
    Dynamic below-target semi-variance risk measure in a fractional Black-Scholes market (English)
    0 references

    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B30
    0 references
    62P05
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    60J65
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    zbMATH DE Number
    6091101
    0 references
     
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