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
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- Leonel Pérez-Hernández, 2005. "On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market," Department of Economics and Finance Working Papers EC200505, Universidad de Guanajuato, Department of Economics and Finance.
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