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Large losses - probability minimizing approach

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  • Micha{l} Barski

Abstract

The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].

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  • Micha{l} Barski, 2016. "Large losses - probability minimizing approach," Papers 1601.03388, arXiv.org.
    • Handle: RePEc:arx:papers:1601.03388
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    References listed on IDEAS

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    1. Hans FÃllmer & Peter Leukert, 2000. "Efficient hedging: Cost versus shortfall risk," Finance and Stochastics, Springer, vol. 4(2), pages 117-146.
    2. J. Jacod & A.N. Shiryaev, 1998. "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, vol. 2(3), pages 259-273.
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