On the shortfall risk control: a refinement of the quantile hedging method

DOI10.1515/STRM-2014-1169zbMath1403.91331arXiv1402.3725OpenAlexW3105752802MaRDI QIDQ254506

Michał Barski

Publication date: 8 March 2016

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.3725

zbMATH Keywords

Neyman-Pearson lemmabankruptcy prohibitionconditional testsquantile hedgingshortfall constraints

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Quantile hedging pension payoffs: an analysis of investment incentives

This page was built for publication: On the shortfall risk control: a refinement of the quantile hedging method