Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing

DOI10.1007/s00780-013-0213-8zbMath1275.91124arXiv1109.5316OpenAlexW3123709402MaRDI QIDQ377458

Tim Leung, Qingshuo Song, Jie Yang

Publication date: 6 November 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.5316

zbMATH Keywords

hypothesis testingportfolio optimizationNeyman-Pearson lemmaquantile hedgingstochastic benchmark

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items

Reaching goals under ambiguity: continuous-time optimal portfolio selection ⋮ Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk ⋮ Quantile hedging in a semi-static market with model uncertainty

Uses Software

• MathOverflow

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Outperforming the market portfolio with a given probability
• Testing composite hypotheses via convex duality
• Mathematical methods for financial markets.
• On a robustness of quantile hedging: Complete market's case
• Forward-backward stochastic differential equations and their applications
• A general version of the fundamental theorem of asset pricing
• Convex measures of risk and trading constraints
• Maximizing the probability of a perfect hedge
• Representation theorems for backward stochastic differential equations
• On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
• Quantile hedging
• The mathematics of arbitrage
• Contingent Claims and Market Completeness in a Stochastic Volatility Model
• On the Continuity of Stochastic Exit Time Control Problems
• Path-Dependence of Leveraged ETF Returns
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Convex Hedging in Incomplete Markets
• Testing Statistical Hypotheses
• Optimal Investments for Robust Utility Functionals in Complete Market Models
• Generalized Neyman-Pearson lemma via convex duality.