Minimization of shortfall risk in a jump-diffusion model

In a jump-diffusion model of complete financial markets, we study the problem of minimizing the expectation of hedging loss weighted by power functions. We obtain the optimal portfolio by separating the problem into a hedging problem and an optimization problem.

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Year of publication:	2004
Authors:	Nakano, Yumiharu
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 67.2004, 1, p. 87-95
Publisher:	Elsevier
Subject:	Shortfall risk Jump-diffusion model

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005053178