Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints

The paper studies the problem of minimizing coherent risk measures of shortfall for general discrete-time financial models with cone-constrained trading strategies, as developed by Pham and Touzi. It is shown that the optimal strategy is obtained by super-hedging a contingent claim, which is represented as a Neyman-Pearson-type random variable.

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Year of publication:	2003
Authors:	Nakano, Yumiharu
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 10.2003, 2, p. 163-181
Publisher:	Taylor & Francis Journals
Subject:	coherent risk measure \| shortfall risk \| constrained strategy \| super-hedging \| convex duality

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005279063