Minimization of shortfall risk in a jump-diffusion model
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Publication:2568328
DOI10.1016/j.spl.2003.11.016zbMath1081.91018OpenAlexW1981538816MaRDI QIDQ2568328
Publication date: 10 October 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2115/69320
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Related Items (4)
EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS ⋮ The efficient hedging problem for American options ⋮ On the existence of an efficient hedge for an American contingent claim within a discrete time market ⋮ Dynamic asset allocation with loss aversion in a jump-diffusion model
Cites Work
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Point processes and queues. Martingale dynamics
- Efficient hedging: cost versus shortfall risk
- Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
- Dynamic L p-Hedging in Discrete Time under Cone Constraints
- Unnamed Item
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