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Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints

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  • Yumiharu Nakano
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    Abstract

    The paper studies the problem of minimizing coherent risk measures of shortfall for general discrete-time financial models with cone-constrained trading strategies, as developed by Pham and Touzi. It is shown that the optimal strategy is obtained by super-hedging a contingent claim, which is represented as a Neyman-Pearson-type random variable.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/1350486032000102924
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    Bibliographic Info

    Article provided by Taylor and Francis Journals in its journal Applied Mathematical Finance.

    Volume (Year): 10 (2003)
    Issue (Month): 2 ()
    Pages: 163-181

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    Handle: RePEc:taf:apmtfi:v:10:y:2003:i:2:p:163-181

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    Related research

    Keywords: coherent risk measure; shortfall risk; constrained strategy; super-hedging; convex duality;

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    Cited by:
    1. 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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