Minimization of shortfall risk in a jump-diffusion model

Yumiharu Nakano

Statistics & Probability Letters, 2004, vol. 67, issue 1, 87-95

Abstract: In a jump-diffusion model of complete financial markets, we study the problem of minimizing the expectation of hedging loss weighted by power functions. We obtain the optimal portfolio by separating the problem into a hedging problem and an optimization problem.

Keywords: Shortfall; risk; Jump-diffusion; model (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (3)

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