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

zbMATH Open1265.91153MaRDI QIDQ2916596

M. W. Luke Chan, Li'an Qu, Huayue Zhang

Publication date: 5 October 2012

Published in: Acta Mathematica Scientia. Series A. (Chinese Edition) (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motiondownside riskClark-Ocone theorem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Portfolio theory (91G10)

Related Items (1)

Dynamic risk measure for BSVIE with jumps and semimartingale issues

This page was built for publication: Dynamic below-target semi-variance risk measure in a fractional Black-Scholes market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2916596)