Minimizing shortfall risk and applications to finance and insurance problems

DOI10.1214/aoap/1015961159zbMath1015.93071OpenAlexW2059498346MaRDI QIDQ1872413

Huyên Pham

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1015961159

zbMATH Keywords

hedgingsemimartingalesduality theoryconstrained portfoliosdual controlshortfall risk minimizationfinance and insuranceoptional decomposition under constraints

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Stochastic integrals (60H05) Optimality conditions for problems involving randomness (49K45)

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