Search Results - subject:"Loss constraint"

A note on P- vs. Q-expected loss portfolio constraints

Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry - In: Quantitative finance 21 (2021) 2, pp. 263-270

Persistent link: https://www.econbiz.de/10012424588

Some contributions to financial market modelling with transaction costs

Tran, Quoc Tuan - Université Paris-Dauphine (Paris IX) - 2014

This thesis deals with different problems related to markets with transaction costs and is composed of four parts.In part I, we begin with the study of assymptotic hedging a European option in a local volatility model with bid-ask spread.In part II, we study the optimal consumption problem in a...

Persistent link: https://www.econbiz.de/10011099452

Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Mete - HAL - 2013

very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

Persistent link: https://www.econbiz.de/10010933872

Double auctions with no-loss constrained traders

Anbarcı, Nejat; Roy, Jaideep - In: Theory and decision : an international journal for … 84 (2018) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011939643

Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Halil Mete - 2014

very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

Persistent link: https://www.econbiz.de/10010442924

Risk preferences of a newsvendor with service and loss constraints

Jammernegg, Werner; Kischka, Peter - In: International Journal of Production Economics 143 (2013) 2, pp. 410-415

quantities, the loss constraint is characterized by a target resulting in losses is met by low order quantities. Choosing as … necessarily risk taking behavior is implied. Contrary, if the loss constraint dominates, i.e. the probability of loss is low the …

Persistent link: https://www.econbiz.de/10010665778

Risk preferences of a newsvendor with service and loss constraints

Jammernegg, Werner; Kischka, Peter - In: International journal of production economics 143 (2013) 2, pp. 410-415

Persistent link: https://www.econbiz.de/10009755513