Advanced Search
MyIDEAS: Login to save this paper or follow this series

Inf-convolution of g_\Gamma-solution and its applications

Contents:

Author Info

  • Yuanyuan Sui
  • Helin Wu
Registered author(s):

    Abstract

    A risk-neutral method is always used to price and hedge contingent claims in complete market, but another method based on utility maximization or risk minimization is wildly used in more general case. One can find all kinds of special risk measure in literature. In this paper, instead of using market modified risk measure, we use a kind of risk measure induced by g_\Gamma-solution or the minimal solution of a Constrained Backward Stochastic Differential Equation (CBSDE) directly when constraints on wealth and portfolio process comes to our consideration. Such g_\Gamma-solution and the risk measure generated by it is well defined on appropriate space under suitable conditions. We adopt the inf-convolution of convex risk measures to solve some optimization problem. A dynamic version risk measures defined through g_\Gamma-solution and some similar results about optimal problem can be got in our new framework and by our new approach.

    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://arxiv.org/pdf/1103.1050
    File Function: Latest version
    Download Restriction: no

    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1103.1050.

    as in new window
    Length:
    Date of creation: Mar 2011
    Date of revision: May 2012
    Handle: RePEc:arx:papers:1103.1050

    Contact details of provider:
    Web page: http://arxiv.org/

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    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:arx:papers:1103.1050. 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: (arXiv administrators).

    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.