Shortfall risk minimising strategies in the binomial model: characterisation and convergence
type: Item
instance of: scholarly article
title: Shortfall risk minimising strategies in the binomial model: characterisation and convergence
zbMATH Open document ID: 1132.90375
author: Gino Favero
author: Tiziano Vargiolu
published in: Mathematical Methods of Operations Research
publication date: 2007-01-05T00:00:00Z
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5082018
zbMATH Keywords: shortfall risk minimization
zbMATH Keywords: binomial model
zbMATH Keywords: dynamic programming algorithm
zbMATH Keywords: robustness
MaRDI profile type: Publication
full work available at URL: s00186-006-0083-3
OpenAlex ID: W1963548592
cites work: Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
cites work: On dynamic measure of risk
cites work: Generalized Neyman-Pearson lemma via convex duality.
cites work: Q4794153
cites work: Shortfall risk minimization under model uncertainty in the binomial case: adaptive and robust approaches
cites work: Quantile hedging
cites work: Efficient hedging: cost versus shortfall risk
cites work: Convex measures of risk and trading constraints
cites work: Convergence of utility functions and convergence of optimal strategies
cites work: Dynamic L p-Hedging in Discrete Time under Cone Constraints
cites work: Convex Analysis
cites work: Q4421380
cites work: Local Expected Shortfall-Hedging in Discrete Time *
DOI: 10.1007/S00186-006-0083-3
description: scientific article; zbMATH DE number 5082018