Add to ORKGAbstract. Shortfall risk is considered by taking some exposed risks because the superhedging price is too expensive to be used in practice. Minimizing shortfall risk can be reduced to the problem of finding a randomized test ψ in the static problem. The optimization problem can be solved via the classical Neyman-Pearson theory, and can be also explained in terms of hypothesis testing. We introduce the classical Neyman-Pearson lemma expressed in terms of mathematics and see how it is applied to shortfall risk in finance. 1
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a...
In this paper we study the dependence on the loss function of the strategy, which minimises the expe...
We consider the problem of minimizing the shortfall risk when the aim is to hedge a contingent claim...
Some financial problems as minimizing the shortfall risk when hedging in incomplete markets lead to ...
In both complete and incomplete markets we consider the problem of fulfillinga financial obligation ...
In incomplete financial markets not every contingent claim can be replicated by a self-financing str...
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial marke...
The shortfall risk is defined as the optimal mean value of the terminal deficit produced by a self-f...
In this paper we consider models of financial markets in discrete and continuous time case, and we s...
mail foellmermathematikhu berlinde leukertmathematikhu berlinde Abstract An investor faced with a ...
In this paper we show how to deal with shortfall risk minimization in significant multinomial models...
Current research suggests that the large downside risk in hedge fund returns disqualifies the varian...
AbstractThe idea of efficient hedging has been introduced by Föllmer and Leukert. They defined the s...
This thesis challenges several concepts in finance. Firstly, it is the Markowitz's solution to the p...
International audienceIn this paper, we study theoretical and computational aspects of risk minimiza...
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a...
In this paper we study the dependence on the loss function of the strategy, which minimises the expe...
We consider the problem of minimizing the shortfall risk when the aim is to hedge a contingent claim...
Some financial problems as minimizing the shortfall risk when hedging in incomplete markets lead to ...
In both complete and incomplete markets we consider the problem of fulfillinga financial obligation ...
In incomplete financial markets not every contingent claim can be replicated by a self-financing str...
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial marke...
The shortfall risk is defined as the optimal mean value of the terminal deficit produced by a self-f...
In this paper we consider models of financial markets in discrete and continuous time case, and we s...
mail foellmermathematikhu berlinde leukertmathematikhu berlinde Abstract An investor faced with a ...
In this paper we show how to deal with shortfall risk minimization in significant multinomial models...
Current research suggests that the large downside risk in hedge fund returns disqualifies the varian...
AbstractThe idea of efficient hedging has been introduced by Föllmer and Leukert. They defined the s...
This thesis challenges several concepts in finance. Firstly, it is the Markowitz's solution to the p...
International audienceIn this paper, we study theoretical and computational aspects of risk minimiza...
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a...
In this paper we study the dependence on the loss function of the strategy, which minimises the expe...
We consider the problem of minimizing the shortfall risk when the aim is to hedge a contingent claim...