Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints
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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Volume (Year): 10 (2003)
Issue (Month): 2 ()
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