Shortfall risk minimising strategies in the binomial model: characterisation and convergence

DOI10.1007/S00186-006-0083-3zbMath1132.90375OpenAlexW1963548592MaRDI QIDQ857947

Tiziano Vargiolu, Gino Favero

Publication date: 5 January 2007

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-006-0083-3

zbMATH Keywords

robustnessdynamic programming algorithmbinomial modelshortfall risk minimization

Mathematics Subject Classification ID

Dynamic programming (90C39)

Related Items (4)

Optimal partial hedging in a discrete-time market as a Knapsack problem ⋮ Replication and shortfall risk in a binomial model with transaction costs ⋮ Partial Hedging in Financial Markets with a Large Agent ⋮ Dynamic mean-risk optimization in a binomial model

Cites Work

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• Local Expected Shortfall-Hedging in Discrete Time *
• Dynamic L ^p-Hedging in Discrete Time under Cone Constraints
• Convex Analysis
• Generalized Neyman-Pearson lemma via convex duality.

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