Minimization of shortfall risk in a jump-diffusion model
AbstractIn a jump-diffusion model of complete financial markets, we study the problem of minimizing the expectation of hedging loss weighted by power functions. We obtain the optimal portfolio by separating the problem into a hedging problem and an optimization problem.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 67 (2004)
Issue (Month): 1 (March)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Yumiharu Nakano, 2003. "Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(2), pages 163-181.
- Sabrina Mulinacci, 2011. "The efficient hedging problem for American options," Finance and Stochastics, Springer, vol. 15(2), pages 365-397, June.
- Alexander Melnikov & Yuliya Romanyuk, 2008.
"Efficient Hedging And Pricing Of Equity-Linked Life Insurance Contracts On Several Risky Assets,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 295-323.
- Alexander Melnikov & Yuliya Romanyuk, 2006. "Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets," Working Papers 06-43, Bank of Canada.
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