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Computing strategies for achieving acceptability

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  • Soumik Pal

Abstract

We consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the functional form of a trading strategy to achieve acceptability. We also prove optimality of the obtained capital.

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  • Soumik Pal, 2006. "Computing strategies for achieving acceptability," Papers math/0607617, arXiv.org.
    • Handle: RePEc:arx:papers:math/0607617
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    References listed on IDEAS

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    1. Jeremy Staum, 2004. "Fundamental Theorems of Asset Pricing for Good Deal Bounds," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 141-161, April.
    2. Stefan Jaschke & Uwe Küchler, 2001. "Coherent risk measures and good-deal bounds," Finance and Stochastics, Springer, vol. 5(2), pages 181-200.
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