Advanced Search
MyIDEAS: Login to save this article or follow this journal

Gain–loss based convex risk limits in discrete-time trading

Contents:

Author Info

  • Mustafa Pınar

    ()

Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://hdl.handle.net/10.1007/s10287-010-0122-7
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Springer in its journal Computational Management Science.

    Volume (Year): 8 (2011)
    Issue (Month): 3 (August)
    Pages: 299-321

    as in new window
    Handle: RePEc:spr:comgts:v:8:y:2011:i:3:p:299-321

    Contact details of provider:
    Web page: http://www.springerlink.com/link.asp?id=111894

    Order Information:
    Web: http://link.springer.de/orders.htm

    Related research

    Keywords: Incomplete markets; Acceptability; Martingale measure; Contingent claim; Pricing;

    References

    References listed on IDEAS
    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.:
    as in new window
    1. Berend Roorda & J. M. Schumacher & Jacob Engwerda, 2005. "Coherent Acceptability Measures In Multiperiod Models," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 15(4), pages 589-612.
    2. Mingxin Xu, 2004. "Risk Measure Pricing and Hedging in Incomplete Markets," Finance, EconWPA 0406004, EconWPA, revised 06 Apr 2005.
    3. Stefan Jaschke & Uwe Küchler, 2001. "Coherent risk measures and good-deal bounds," Finance and Stochastics, Springer, Springer, vol. 5(2), pages 181-200.
    4. Susanne Klöppel & Martin Schweizer, 2007. "Dynamic Indifference Valuation Via Convex Risk Measures," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 17(4), pages 599-627.
    5. A. Oberman & T. Zariphopoulou, 2003. "Pricing early exercise contracts in incomplete markets," Computational Management Science, Springer, Springer, vol. 1(1), pages 75-107, December.
    6. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance, EconWPA 0404001, EconWPA, revised 08 Oct 2005.
    7. Alexander Cherny, 2007. "Pricing and hedging European options with discrete-time coherent risk," Finance and Stochastics, Springer, Springer, vol. 11(4), pages 537-569, October.
    8. Cern›, Ales, 2002. "Generalized Sharpe Ratios and Asset Pricing in Incomplete Markets," Royal Economic Society Annual Conference 2002, Royal Economic Society 41, Royal Economic Society.
    9. Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(10), pages 3253-3274, October.
    10. Nicholas Barberis & Ming Huang & Tano Santos, 2001. "Prospect Theory And Asset Prices," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 116(1), pages 1-53, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:spr:comgts:v:8:y:2011:i:3:p:299-321. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.