Gain-loss based convex risk limits in discrete-time trading

DOI10.1007/s10287-010-0122-7zbMath1253.91180OpenAlexW2048734069MaRDI QIDQ693201

Mustafa Çelebi Pinar

Publication date: 7 December 2012

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-010-0122-7

zbMATH Keywords

incomplete marketsmartingale measurepricingacceptabilitycontingent claim

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Risk measure pricing and hedging in incomplete markets
• Asset pricing with loss aversion
• Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
• Duality and martingales: a stochastic programming perspective on contingent claims
• Pricing early exercise contracts in incomplete markets
• Pricing and hedging European options with discrete-time coherent risk
• Satisfying convex risk limits by trading
• Prospect Theory and Asset Prices
• Lectures on Modern Convex Optimization
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Prospect Theory: An Analysis of Decision under Risk
• Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
• Fundamental Theorems of Asset Pricing for Good Deal Bounds
• Gain-loss pricing under ambiguity of measure
• Optimization of Convex Risk Functions
• Towards a General Theory of Good-Deal Bounds*
• COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
• Stochastic finance. An introduction in discrete time
• Coherent risk measures and good-deal bounds

This page was built for publication: Gain-loss based convex risk limits in discrete-time trading