Add to ORKG(will be inserted by the editor) Explicit solutions for shortfall risk minimization in multinomial model
We show that shortfall risks of American options in a sequence of multinomial approximations of the ...
Summarization: The financial decisions of an organization are usually included in the context of opt...
In this paper we study the dependence on the loss function of the strategy which minimises the expec...
In this paper we show how to deal with shortfall risk minimization in significant multinomial models...
There have been profound ideas on how to measure risk which have influenced the financial market. Sh...
We consider the problem of minimizing the shortfall risk when the aim is to hedge a contingent claim...
The shortfall risk is defined as the optimal mean value of the terminal deficit produced by a self-f...
The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-t...
In the present paper decision models are examined which are based on the quantification of shortfall...
In a jump-diffusion model of complete financial markets, we study the problem of minimizing the expe...
Abstract. Shortfall risk is considered by taking some exposed risks because the superhedging price i...
We impose dynamically, a shortfall constraint in terms of Tail Conditional Expectation on the portfo...
The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-t...
Optimal solutions obtained via decision-making methods for the third scenario.</p
Optimal solutions obtained for the first scenario using decision-making methods.</p
We show that shortfall risks of American options in a sequence of multinomial approximations of the ...
Summarization: The financial decisions of an organization are usually included in the context of opt...
In this paper we study the dependence on the loss function of the strategy which minimises the expec...
In this paper we show how to deal with shortfall risk minimization in significant multinomial models...
There have been profound ideas on how to measure risk which have influenced the financial market. Sh...
We consider the problem of minimizing the shortfall risk when the aim is to hedge a contingent claim...
The shortfall risk is defined as the optimal mean value of the terminal deficit produced by a self-f...
The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-t...
In the present paper decision models are examined which are based on the quantification of shortfall...
In a jump-diffusion model of complete financial markets, we study the problem of minimizing the expe...
Abstract. Shortfall risk is considered by taking some exposed risks because the superhedging price i...
We impose dynamically, a shortfall constraint in terms of Tail Conditional Expectation on the portfo...
The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-t...
Optimal solutions obtained via decision-making methods for the third scenario.</p
Optimal solutions obtained for the first scenario using decision-making methods.</p
We show that shortfall risks of American options in a sequence of multinomial approximations of the ...
Summarization: The financial decisions of an organization are usually included in the context of opt...
In this paper we study the dependence on the loss function of the strategy which minimises the expec...