Outperforming the market portfolio with a given probability

DOI10.1214/11-AAP799zbMath1259.60072arXiv1006.3224OpenAlexW3099268354MaRDI QIDQ453241

Erhan Bayraktar, Yu-Jui Huang, Qingshuo Song

Publication date: 19 September 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.3224

zbMATH Keywords

viscosity solutionsquantile hedgingnonuniqueness of solutions of nonlinear PDEsoptimal arbitragestrict local martingale deflators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91G99) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02)

Related Items (6)

Distribution of the time to explosion for one-dimensional diffusions ⋮ A Stochastic Target Approach for P&L Matching Problems ⋮ Functional Portfolio Optimization in Stochastic Portfolio Theory ⋮ Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing ⋮ Diversity-weighted portfolios with negative parameter ⋮ Quantile hedging in a semi-static market with model uncertainty

Uses Software

• Mathematica

Cites Work

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