Add to ORKGThere have been profound ideas on how to measure risk which have influenced the financial market. Shortfall risk minimization is one of these methods which has attracted considerable attention. This problem has been studied for the binomial model in Runggaldier et al (2000) and Runggaldier et al (2002) and for the trinomial model in Scagnelatto and Vargiolu (2002). In this paper, we investigat
In a jump-diffusion model of complete financial markets, we study the problem of minimizing the expe...
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a...
This paper studies the problem or minimizing coherent risk measures or shortfall for general discret...
The shortfall risk is defined as the optimal mean value of the terminal deficit produced by a self-f...
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...
We consider the problem of minimizing the shortfall risk when the aim is to hedge a contingent claim...
In this paper we study the dependence on the loss function of the strategy which minimises the expec...
It is well known that the use of Gaussian models to assess financial risk leads to an underestimatio...
We consider the problem of shortfall risk minimization when there is uncertainty about the exact sto...
(will be inserted by the editor) Explicit solutions for shortfall risk minimization in multinomial m...
International audienceIn this paper, we study theoretical and computational aspects of risk minimiza...
We consider a dynamic asset allocation problem formulated as a mean-shortfall model in discrete time...
We have developed a regime switching framework to compute the Value at Risk and Expected Shortfall m...
In this paper we consider models of financial markets in discrete and continuos time case, and we sh...
In a jump-diffusion model of complete financial markets, we study the problem of minimizing the expe...
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a...
This paper studies the problem or minimizing coherent risk measures or shortfall for general discret...
The shortfall risk is defined as the optimal mean value of the terminal deficit produced by a self-f...
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...
We consider the problem of minimizing the shortfall risk when the aim is to hedge a contingent claim...
In this paper we study the dependence on the loss function of the strategy which minimises the expec...
It is well known that the use of Gaussian models to assess financial risk leads to an underestimatio...
We consider the problem of shortfall risk minimization when there is uncertainty about the exact sto...
(will be inserted by the editor) Explicit solutions for shortfall risk minimization in multinomial m...
International audienceIn this paper, we study theoretical and computational aspects of risk minimiza...
We consider a dynamic asset allocation problem formulated as a mean-shortfall model in discrete time...
We have developed a regime switching framework to compute the Value at Risk and Expected Shortfall m...
In this paper we consider models of financial markets in discrete and continuos time case, and we sh...
In a jump-diffusion model of complete financial markets, we study the problem of minimizing the expe...
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a...
This paper studies the problem or minimizing coherent risk measures or shortfall for general discret...