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Shortfall Risk Minimization in Discrete Time Financial Market Models - MaRDI portal

Shortfall Risk Minimization in Discrete Time Financial Market Models

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Publication:2940764

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DOI10.1137/120903142zbMath1308.91081OpenAlexW4302400748MaRDI QIDQ2940764

Noufel Frikha

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/120903142

zbMATH Keywords

Monte Carlo simulation vector quantization risk minimization stochastic approximation algorithm dynamic programming principle shortfall risk measures

Mathematics Subject Classification ID

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Related Items (2)

Multi-level stochastic approximation algorithms ⋮ Expected shortfall and optimal hedging payoff

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